New independent component analysis tools for time series

被引：26
|
作者：
Matilainen, Markus [1 ]
Nordhausen, Klaus [1 ]
Oja, Hannu [1 ]
机构：
[1] 20014 Univ Turku, Dept Math & Stat, Turku, Finland
来源：
STATISTICS & PROBABILITY LETTERS | 2015年 / 105卷
基金：
芬兰科学院;
关键词：
FOBI; GARCH; JADE; Multivariate statistics; SOBl; Stochastic volatility; SEPARATION;
D O I：
10.1016/j.spl.2015.04.033
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Independent component analysis is a popular approach in search of latent variables and structures in high-dimensional data. We propose extensions of classical FOBI and JADE estimates for multivariate time series, with a special focus on time series with stochastic volatility. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：80 / 87
页数：8
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