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Extracting Conditionally Heteroskedastic Components using Independent Component Analysis

  • Published:2019-09-08 Issue:2 Volume:41 Page:293-311
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:J. Time Ser. Anal.

Author:

Miettinen Jari1,Matilainen Markus23,Nordhausen Klaus4,Taskinen Sara5

Affiliation:

1. Department of Signal Processing and Acoustics Aalto University Helsinki Finland

2. Department of Mathematics and Statistics University of Turku Turku Finland

3. Turku PET Centre Turku University Hospital and University of Turku Finland

4. Institute of Statistics & Mathematical Methods in Economics Vienna University of Technology Wien Austria

5. Department of Mathematics and Statistics University of Jyvaskyla Jyväskylä Finland

Funder

Austrian Science Fund

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

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