141 citations
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Showing 2018Show all
3 papers · 1 filter
math.ST2018★ 17 cited
Extracting conditionally heteroscedastic components using ICA
Jari Miettinen, Markus Matilainen, Klaus Nordhausen +1
In the independent component model, the multivariate data is assumed to be a mixture of mutually independent latent components, and in independent component analysis (ICA) the aim…
stat.ME2018★ 9 cited
Sliced Average Variance Estimation for Multivariate Time Series
Markus Matilainen, Christophe Croux, Klaus Nordhausen +1
Supervised dimension reduction for time series is challenging as there may be temporal dependence between the response and the predictors . Recently a time serie…
stat.ME2018★ 13 cited
On the number of signals in multivariate time series
Markus Matilainen, Klaus Nordhausen, Joni Virta
We assume a second-order source separation model where the observed multivariate time series is a linear mixture of latent, temporally uncorrelated time series with some components…