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

principal componentstime seriesmean square errorsingular valuesHankel matrixinfinite matrixlinear innovationsstochastic realizationspectral characteristicstationary caseSchmidt pairsrational spectrumsecond order stochastic processbest linear least-squares predictiondata reduction problem

Mathematics Subject Classification ID

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

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Cited in

(6)

• Principal Components Analysis of a Cyclostationary Random Function
• Probabilistic Two-dimensional Principal Component Analysis
• Nonlinear principal components and long-run implications of multivariate diffusions
• Approximation par moyennage de l'analyse en composantes principales d'un processus stochastique
• L’analyse en composantes principales de variables non stationnaires
• Probabilistic Principal Component Analysis

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