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03/10/2021
Stationary subspace analysis based on second-order statistics
In stationary subspace analysis (SSA) one assumes that the observable p-...
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11/27/2018
Extracting conditionally heteroscedastic components using ICA
In the independent component model, the multivariate data is assumed to ...
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10/05/2018
Sliced Average Variance Estimation for Multivariate Time Series
Supervised dimension reduction for time series is challenging as there m...
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