TVICA - Time varying independent component analysis and its application to financial data

TVICA - Time varying independent component analysis and its application to financial data

10.1016/j.csda.2014.01.002

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Bibliographic Details
Main Authors: Chen, R.-B., Chen, Y., Härdle, W.K.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Adaptive methods
Local homogeneity
Portfolio risk analysis
Sequential testing
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105443
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Institution: National University of Singapore
Description
Summary:10.1016/j.csda.2014.01.002

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