TVICA -- time varying independent component analysis and its application to financial data
type: Item
instance of: scholarly article
title: TVICA -- time varying independent component analysis and its application to financial data
zbMATH Open document ID: 1506.62039
author: Ray-Bing Chen
author: Ying Chen
author: Wolfgang K. Härdle
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6983930
zbMATH Keywords: adaptive methods
zbMATH Keywords: local homogeneity
zbMATH Keywords: portfolio risk analysis
zbMATH Keywords: sequential testing
describes a project that uses: FastICA
describes a project that uses: CuBICA
describes a project that uses: QRM
describes a project that uses: TVICA
describes a project that uses: GHICA
MaRDI profile type: Publication
full work available at URL: j.csda.2014.01.002
OpenAlex ID: W2267270122
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DOI: 10.1016/J.CSDA.2014.01.002
description: scientific article; zbMATH DE number 6983930