124 citations · 550 across the 52 of their papers we have counts for
3 papers · 2 filters
Optimization and Testing in Linear Non-Gaussian Component Analysis
Ze Jin, Benjamin B. Risk, David S. Matteson
Independent component analysis (ICA) decomposes multivariate data into mutually independent components (ICs). The ICA model is subject to a constraint that at most one of these com…
Pruning and Nonparametric Multiple Change Point Detection
Wenyu Zhang, Nicholas James, David Matteson
Change point analysis is a statistical tool to identify homogeneity within time series data. We propose a pruning approach for approximate nonparametric estimation of multiple chan…
Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
Ines Wilms, Sumanta Basu, Jacob Bien +1
The Vector AutoRegressive Moving Average (VARMA) model is fundamental to the theory of multivariate time series; however, identifiability issues have led practitioners to abandon i…