Search Results - subject:"Independent component Analysis"

A dynamic hedging model based on conditional higher moments

Jun, Dai - In: Investment management and financial innovations 12 (2015) 1, pp. 60-69

Persistent link: https://www.econbiz.de/10010515866

Independent factor autoregressive conditional density model

Ghalanos, Alexios; Rossi, Eduardo; Urga, Giovanni - In: Econometric reviews 34 (2015) 1/5, pp. 594-616

Persistent link: https://www.econbiz.de/10011373255

Independent component analysis via copula techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - 2008

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p … R I S K B E R L I N Independent Component Analysis Via Copula … Spandauer Straße 1, D-10178 Berlin Independent Component Analysis Via Copula Techniques Ray-Bing Chen1, Meihui Guo2, Wolfgang …

Persistent link: https://www.econbiz.de/10003635977

A comparative study of sound and vibration signals in detection of rotating machine faults using support vector machine and independent component analysis

Saimurugan, M.; Ramachandran, K.I. - In: International Journal of Data Analysis Techniques and … 6 (2014) 2, pp. 188-204

reduction using independent component analysis (ICA) and classified using SVM. The obtained results of SVM and SVM with ICA are …

Persistent link: https://www.econbiz.de/10010816809

Independent component analysis-based non-Gaussian process monitoring with preselecting optimal components and support vector data description

Jiang, Qingchao; Yan, Xuefeng; Lv, Zhaomin; Guo, Meijin - In: International journal of production research 52 (2014) 11, pp. 3273-3286

Persistent link: https://www.econbiz.de/10010355790

GHICA: Risk analysis with GH distributions and independent components

Chen, Ying; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2006

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

Persistent link: https://www.econbiz.de/10010274123

Financial Time Series Analysis using Pattern Recognition Methods

Zeng, Zhanggui - 2006

share prices by time series clustering, principal component analysis, independent component analysis, and object recognition … clustering and principal component analysis. Independent component analysis aims to find the ideal independent variables of the …

Persistent link: https://www.econbiz.de/10009480080

Extending the Levy Processes to Multiasset Products Pricing

Xia, Qing - 2006

signal processing technique called independent component analysis (ICA), from which we get the physical measure (P measure …

Persistent link: https://www.econbiz.de/10009450942

GHICA - Risk Analysis with GH Distributions and Independent Components

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

with the GHICA one. Keywords: multivariate risk management, independent component analysis, generalized hyperbolic ….1 Independent component analysis (ICA) and FastICA approach The aim of ICA is to retrieve, out of high dimensional time series …

Persistent link: https://www.econbiz.de/10005677913

The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis

Lizieri, Colin; Satchell, Stephen; Zhang, Qi - Henley Business School, University of Reading - 2006

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing...

Persistent link: https://www.econbiz.de/10005178187