Strategies for identifying statistically significant dense regions in microarray data.

We propose and study the notion of dense regions for the analysis of categorized gene expression data and present some searching algorithms for discovering them. The algorithms can be applied to any categorical data matrices derived from gene expression level matrices. We demonstrate that dense regions are simple but useful and statistically significant patterns that can be used to 1) identify genes and/or samples of interest and 2) eliminate genes and/or samples corresponding to outliers, noise, or abnormalities.

Value at risk estimation using independent component analysis-generalized autoregressive conditional heteroscedasticity (ICA-GARCH) models.

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.