New independent component analysis tools for time series

作者：Matilainen Markus^*; Nordhausen Klaus; Oja Hannu

来源：Statistics & Probability Letters, 2015, 105: 80-87.

DOI：10.1016/j.spl.2015.04.033

• FOBI
• GARCH
• JADE
• Multivariate statistics
• SOBl
• Stochastic volatility

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.

• 出版日期2015-10