Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series (Q4690952)
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scientific article; zbMATH DE number 6962786
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| English | Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series |
scientific article; zbMATH DE number 6962786 |
Statements
Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series (English)
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23 October 2018
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conditional mean
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low rank
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nonlinear dependence
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principal components
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0.90629727
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0.89740855
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0.8475151
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0.84702176
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0.84478754
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0.84386516
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0.8382633
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0.83760214
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