TVICA - Time varying independent component analysis and its application to financial data.
Ray-Bing ChenYing ChenWolfgang K. HärdlePublished in: Comput. Stat. Data Anal. (2014)
Keyphrases
- independent component analysis
- financial data
- independent components
- stock market
- principal component analysis
- signal processing
- bankruptcy prediction
- factor analysis
- financial information
- stock price
- independent subspace analysis
- financial ratios
- blind source separation
- credit card
- natural gradient
- financial statements
- source separation
- source signals
- single channel
- discriminant analysis
- outlier detection
- frequency domain
- pattern recognition