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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25246
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Chen, Ray-Bing | | en_US |
| dc.contributor.author | | Guo, Meihui | | en_US |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.contributor.author | | Huang, Shih-Feng | | en_US |
| dc.date.accessioned | | 2008-02-20 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:03:29Z | | - |
| dc.date.available | | 2009-07-23T15:03:29Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25246 | | - |
| dc.description.abstract | | Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then independent components are found by optimizing the copula parameters. Based on this idea, we propose the COPICA method for searching independent components. We illustrate this method using several blind source separation examples, which are mathematically equivalent to ICA problems. Finally performances of our method and FastICA are compared to explore the advantages of this method. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2008,004 | | en_US |
| dc.subject.jel | | C01 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C63 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Blind source separation | | en_US |
| dc.subject.keyword | | Canonical maximum likelihood method | | en_US |
| dc.subject.keyword | | Givens rotation matrix | | en_US |
| dc.subject.keyword | | Signal/noise ratio | | en_US |
| dc.subject.keyword | | Simulated annealing algorithm | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Maximum-Likelihood-Methode | | en_US |
| dc.subject.stw | | Heuristisches Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Independent component analysis via copula techniques | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 558748481 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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