Independent Component Analysis Filtration for Value at Risk Modelling

Author(s):  
Ryszard Szupiluk ◽  
Piotr Wojewnik ◽  
Tomasz Ząbkowski
2006 ◽  
Vol 16 (05) ◽  
pp. 371-382 ◽  
Author(s):  
EDMOND H. C. WU ◽  
PHILIP L. H. YU ◽  
W. K. LI

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.


2020 ◽  
Vol 2020 (14) ◽  
pp. 357-1-357-6
Author(s):  
Luisa F. Polanía ◽  
Raja Bala ◽  
Ankur Purwar ◽  
Paul Matts ◽  
Martin Maltz

Human skin is made up of two primary chromophores: melanin, the pigment in the epidermis giving skin its color; and hemoglobin, the pigment in the red blood cells of the vascular network within the dermis. The relative concentrations of these chromophores provide a vital indicator for skin health and appearance. We present a technique to automatically estimate chromophore maps from RGB images of human faces captured with mobile devices such as smartphones. The ultimate goal is to provide a diagnostic aid for individuals to monitor and improve the quality of their facial skin. A previous method approaches the problem as one of blind source separation, and applies Independent Component Analysis (ICA) in camera RGB space to estimate the chromophores. We extend this technique in two important ways. First we observe that models for light transport in skin call for source separation to be performed in log spectral reflectance coordinates rather than in RGB. Thus we transform camera RGB to a spectral reflectance space prior to applying ICA. This process involves the use of a linear camera model and Principal Component Analysis to represent skin spectral reflectance as a lowdimensional manifold. The camera model requires knowledge of the incident illuminant, which we obtain via a novel technique that uses the human lip as a calibration object. Second, we address an inherent limitation with ICA that the ordering of the separated signals is random and ambiguous. We incorporate a domain-specific prior model for human chromophore spectra as a constraint in solving ICA. Results on a dataset of mobile camera images show high quality and unambiguous recovery of chromophores.


PIERS Online ◽  
2005 ◽  
Vol 1 (6) ◽  
pp. 750-753 ◽  
Author(s):  
Anxing Zhao ◽  
Yansheng Jiang ◽  
Wenbing Wang

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