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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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