2 papers
math.ST2018
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
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…