Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
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...