freqdom (Q44120)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Frequency Domain Based Analysis: Dynamic PCA
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | freqdom |
Frequency Domain Based Analysis: Dynamic PCA |
Statements
Hormann S.
0 references
6 April 2024
0 references
Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component <doi:10.1111/rssb.12076>.
0 references
Identifiers
11 October 2022
0 references
