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

id	sg-nus-scholar.10635-105443
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spelling	sg-nus-scholar.10635-1054432023-11-01T07:18:07Z TVICA - Time varying independent component analysis and its application to financial data Chen, R.-B. Chen, Y. Härdle, W.K. STATISTICS & APPLIED PROBABILITY Adaptive methods Local homogeneity Portfolio risk analysis Sequential testing 10.1016/j.csda.2014.01.002 Computational Statistics and Data Analysis 74 95-109 CSDAD 2014-10-28T05:16:19Z 2014-10-28T05:16:19Z 2014-06 Article Chen, R.-B., Chen, Y., Härdle, W.K. (2014-06). TVICA - Time varying independent component analysis and its application to financial data. Computational Statistics and Data Analysis 74 : 95-109. ScholarBank@NUS Repository. https://doi.org/10.1016/j.csda.2014.01.002 01679473 http://scholarbank.nus.edu.sg/handle/10635/105443 000333781500008 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Adaptive methods Local homogeneity Portfolio risk analysis Sequential testing
spellingShingle	Adaptive methods Local homogeneity Portfolio risk analysis Sequential testing Chen, R.-B. Chen, Y. Härdle, W.K. TVICA - Time varying independent component analysis and its application to financial data
description	10.1016/j.csda.2014.01.002
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chen, R.-B. Chen, Y. Härdle, W.K.
format	Article
author	Chen, R.-B. Chen, Y. Härdle, W.K.
author_sort	Chen, R.-B.
title	TVICA - Time varying independent component analysis and its application to financial data
title_short	TVICA - Time varying independent component analysis and its application to financial data
title_full	TVICA - Time varying independent component analysis and its application to financial data
title_fullStr	TVICA - Time varying independent component analysis and its application to financial data
title_full_unstemmed	TVICA - Time varying independent component analysis and its application to financial data
title_sort	tvica - time varying independent component analysis and its application to financial data
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105443
_version_	1781788053206990848

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

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