Montag, 04. Dezember 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"Extracting conditionally heteroscedastic components using ICA"

Speaker: Klaus Nordhausen (TU Vienna)

HS 7 (#1.303), 1st floor
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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In the independent component model, the multivariate data is assumed to be a mixture of mutually independent latent components, and in independent component analysis (ICA) the aim is to estimate these latent components. In this talk we study an ICA method which combines the use of linear and quadratic autocorrelations in order to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of an ARMAGARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coefficient. As it is often of interest to identify all those components which exhibit stochastic volatility features we also suggest a test statistic for this problem. In this context we show also that a version of principal volatility components (PVC) can be seen as an ICA methods. Finally, we apply the estimators in analyzing a data set which consists of time series of exchange rates of seven currencies to US dollar.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operation Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Mittwoch, 15. November 2017, 14:11
Letzte Änderung am Mittwoch, 15. November 2017, 15:03