Gene/Protein Disease Symptom Drug Enzyme Compound
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Query: UMLS:C0220723 (PCA)
 4,687 document(s) hit in 31,850,051 MEDLINE articles (0.00 seconds)

We suggest using independent component analysis (ICA) to decompose multivariate time series into statistically independent time series. Then, we propose to use ICA-GARCH models which are computationally efficient to estimate the multivariate volatilities. The experimental results show that the ICA-GARCH models are more effective than existing methods, including DCC, PCA-GARCH, and EWMA. We also apply the proposed models to compute value at risk (VaR) for risk management applications. The backtesting and the out-of-sample tests validate the performance of ICA-GARCH models for value at risk estimation.
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PMID:Value at risk estimation using independent component analysis-generalized autoregressive conditional heteroscedasticity (ICA-GARCH) models. 1711 98