Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang K. - In: Computational Statistics & Data Analysis 74 (2014) C, pp. 95-109
A new method of ICA, TVICA, is proposed. Compared to the conventional ICA, the TVICA method allows the mixing matrix to be time dependent. Estimation is conducted under local homogeneity that assumes at any particular time point, there exists an interval over which the mixing matrix can be well...