Independent Components for Time Series: Project Home – R-Forge

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Estimation of independent components from stationary multivariate process via nonlinear decorrelation across components and time. See "Modeling Multivariate Volatilities via Independent Components," Matteson and Tsay (2009), for applications.

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Registered: 2009-11-09 20:06
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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge