Dimension reduction in time series

MaRDI QIDQ3561142zbMATH OpenFDO

Authors Jin-Hong Park, T. N. Sriram, Xiangrong Yin

Publication date 25 May 2010

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J20N2/J20N215/J20N215.html

zbMATH Keywords

density estimatorKullback-Leibler distancenonlinear time seriesthresholdtime series central subspaceWolf yearly sunspot data

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Nonparametric estimation (62G05) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(19)

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• Estimating the number of significant components in high-dimensional principal component analysis
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