| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151769 | Statistics & Probability Letters | 2015 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Markus Matilainen, Klaus Nordhausen, Hannu Oja,