Principal component analysis for multivariate stochastic processes

DOI10.1080/17442509008833640MaRDI QIDQ3479419zbMATH OpenOpenAlexFDO

Authors Angelo Cavazzana, Michele Pavon

Publication date 1990

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509008833640

zbMATH Keywords

best linear least-squares predictiondata reduction problemHankel matrixinfinite matrixlinear innovationsmean square errorprincipal componentsrational spectrumSchmidt pairssecond order stochastic processsingular valuesspectral characteristicstationary casestochastic realizationtime series

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Recommendations

• scientific article; zbMATH DE number 839297
• On prediction of multivariate stationary stochastic processes of rank one
• Approximation par moyennage de l'analyse en composantes principales d'un processus stochastique
• Principal Variables
• Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices

Cited in

(7)

• Nonlinear principal components and long-run implications of multivariate diffusions
• Principal Components Analysis of a Cyclostationary Random Function
• Probabilistic Principal Component Analysis
• ADAPTIVE FILTERING AND PREDICTION OF NOISY MULTIVARIATE SIGNALS: AN APPLICATION TO SUBANNUAL VARIABILITY IN ATMOSPHERIC ANGULAR MOMENTUM
• Approximation par moyennage de l'analyse en composantes principales d'un processus stochastique
• Probabilistic Two-dimensional Principal Component Analysis
• L’analyse en composantes principales de variables non stationnaires

This page was built for publication: Principal component analysis for multivariate stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3479419)