New independent component analysis tools for time series

Markus Matilainen, Klaus Nordhausen and Hannu Oja

Statistics & Probability Letters, 2015, vol. 105, issue C, 80-87

Abstract: 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.

Keywords: FOBI; GARCH; JADE; Multivariate statistics; SOBI; Stochastic volatility (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2015.04.033

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