Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...

For manifest variables with additive noise and for a given number of latent variables with an assumed distribution, we propose to nonparametrically estimate the association between latent and manifest variables. Our estimation is a two step procedure: first it employs standard factor analysis to...

For manifest variables with additive noise and for a given number of latent variables with an assumed distribution, we propose to nonparametrically estimate the association between latent and manifest variables. Our estimation is a two step procedure: First it employs standard factor analysis to...