Blending Independent Components and
Principal Components Analysis
References
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References
Kemp, M.H.D.
(2009). Market consistency: Model calibration in imperfect markets.
John Wiley & Sons [for further information on this book please see Market Consistency]
Kemp, M.H.D. (2010).
Extreme Events: Robust portfolio construction in the presence of fat tails.
John Wiley & Sons [for further information on this book please see Extreme Events]
Press, W.H.,
Teukolsky, S.A., Vetterling, W.T. and Flannery, B.P. (2007). Numerical
Recipes: The Art of Scientific Computing. Cambridge University Press
Stone, J.V.
(2004). Independent Component Analysis: A Tutorial Introduction. MIT
Press
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