| 1. |
- de Fréin, Ruairí, et al.
(författare)
-
Extracting Garch Effects from Asset Returns Using Robust NMF
- 2009
-
Ingår i: Digital Signal Processing Workshop and 5th IEEE Signal Processing Education Workshop, 2009. DSP/SPE 2009. IEEE 13th. - Marco Island, FL : IEEE Signal Processing Society. - 9781424436774 ; , s. 200-5
-
Konferensbidrag (refereegranskat)abstract
- Identification of assets on the stock market that exhibit co-movement is a critical task for generating an efficiently diversified portfolio. We present a new application of non-negative matrix factorization to factor analysis of financial time series. We consider a conditionally heteroscedastic latent factor model, where each series is parameterized by a univariate ARCH model. Volatility clustering characteristics, e.g. GARCH effects, of the constituent assets of the Dow Jones Industrial Average are lever-aged to cluster assets based on the commonality of their volatility clusters. We present a new non-negative matrix factorization algorithm which is robust in the presence of noise, Robust NMF. We use a mixed low-rank over-complete dictionary learning approach to separate out the background Gaussian noise, emphasize the GARCH effects and achieve clearer asset groupings.
|
|
| 2. |
- Li, Jian, et al.
(författare)
-
Iterative Space-Time Adaptive Processing
- 2009
-
Ingår i: IEEE Digital Signal Processing Workshop, Marco Island, FL, USA, 2009. - 9781424436774 ; , s. 440-445
-
Konferensbidrag (refereegranskat)
|
|
| 3. |
- Paier, Alexander, et al.
(författare)
-
Spatial diversity and spatial correlation evaluation of measured vehicle-to-vehicle radio channels at 5.2 GHz
- 2009
-
Ingår i: [Host publication title missing]. - 9781424436774 ; , s. 326-330
-
Konferensbidrag (refereegranskat)abstract
- In this contribution, we estimate the spatial diversity order and spatial correlations from channel sounder measurements of doubly-selective vehicle-to-vehicle MIMO radio channels in the 5.2 GHz band. Ivrlac and Nossek [1] have defined a diversity measure for MIMO Rayleigh fading channels which is based on the spatial correlations of the channel. Subsequently, Nabar et al. [2] have shown the existence of an SNR-dependent critical rate for Ricean fading MIMO channels below which reliable transmission with zero outage is achievable. Here, we evaluate and discuss the temporal evolution of the spatial diversity order of doubly-selective vehicle-to-vehicle MIMO radio channels from real-world measurements by extending [I] and [2] to time-variant channels.
|
|
