Sliced average variance estimation for multivariate time series

DOI10.1080/02331888.2019.1605515zbMath1419.62239arXiv1810.02782OpenAlexW3100634396WikidataQ109772891 ScholiaQ109772891MaRDI QIDQ5742598

Klaus Nordhausen, Hannu Oja, Markus Matilainen, Christophe Croux

Publication date: 15 May 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.02782

zbMATH Keywords

predictionblind source separationsupervised dimension reduction

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Stationary subspace analysis based on second-order statistics, On the usage of joint diagonalization in multivariate statistics

Uses Software

• JADE
• BSSasymp

Cites Work

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