Related papers: Extracting conditionally heteroscedastic component…
We consider the problem of recovering a common latent source with independent components from multiple views. This applies to settings in which a variable is measured with multiple experimental modalities, and where the goal is to…
We consider linear non-Gaussian structural equation models that involve latent confounding. In this setting, the causal structure is identifiable, but, in general, it is not possible to identify the specific causal effects. Instead, a…
Independent Component Analysis (ICA) is a computational technique for revealing latent factors that underlie sets of measurements or signals. It has become a standard technique in functional neuroimaging. In functional neuroimaging, so…
Nonlinear independent component analysis (ICA) provides an appealing framework for unsupervised feature learning, but the models proposed so far are not identifiable. Here, we first propose a new intuitive principle of unsupervised deep…
This paper introduces a novel sparse latent factor modeling framework using sparse asymptotic Principal Component Analysis (APCA) to analyze the co-movements of high-dimensional panel data over time. Unlike existing methods based on sparse…
We study semiparametric factor models in high-dimensional panels where the factor loadings consist of a nonparametric component explained by observed covariates and an idiosyncratic component capturing unobserved heterogeneity. A key…
Probabilistic principal component analysis (PPCA) seeks a low dimensional representation of a data set in the presence of independent spherical Gaussian noise. The maximum likelihood solution for the model is an eigenvalue problem on the…
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return…
This study advances the Variational Autoencoder (VAE) framework by addressing challenges in Independent Component Analysis (ICA) under both determined and underdetermined conditions, focusing on enhancing the independence and…
We investigate the impact of high-order moments on the learning dynamics of an online Independent Component Analysis (ICA) algorithm under a high-dimensional data model composed of a weighted sum of two non-Gaussian random variables. This…
We propose to model multivariate volatility processes based on the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that…
In this paper we combine two powerful computational techniques, well-tempered metadynamics and time lagged independent component analysis. The aim is to develop a new tool for studying rare events and exploring complex free energy…
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized…
Independent component analysis (ICA), is a blind source separation method that is becoming increasingly used to separate brain and non-brain related activities in electroencephalographic (EEG) and other electrophysiological recordings. It…
A framework named Copula Component Analysis (CCA) for blind source separation is proposed as a generalization of Independent Component Analysis (ICA). It differs from ICA which assumes independence of sources that the underlying components…
Independent component analysis (ICA) is widely used to separate mixed signals and recover statistically independent components. However, in non-human primate neuroimaging studies, most ICA-recovered spatial maps are often dense. To extract…
This study aims to widen the sphere of pratical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory. A sequential process of modeling of the VaR of a portfolio based on the…
Principal component analysis (PCA) aims at estimating the direction of maximal variability of a high-dimensional dataset. A natural question is: does this task become easier, and estimation more accurate, when we exploit additional…
Identifying the causal relations between interested variables plays a pivotal role in representation learning as it provides deep insights into the dataset. Identifiability, as the central theme of this approach, normally hinges on…
We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An…