Extensions of independent component analysis: towards applications.
In practice, the application and extension of the ICA model depend on the problem and the data to be investigated. We finally focus on GARCH models in finance, and show that estimation of univariate or multivariate GARCH models is actually a nonlinear ICA problem; maximizing the likelihood is equiva...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2005
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| Online Access: | http://library.cuhk.edu.hk/record=b6074028 http://repository.lib.cuhk.edu.hk/en/item/cuhk-343657 |