Principal component analysis using frequency components of multivariate time series

DOI10.1016/J.CSDA.2020.107164MaRDI QIDQ830499zbMATH OpenOpenAlexFDO

Authors Raanju R. Sundararajan

Publication date 7 May 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.04515

zbMATH Keywords

dimension reductionprincipal component analysismultivariate time seriesspectral domainspectral matrix

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3921783 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
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• Dynamic orthogonal components for multivariate time series
• Evolutionary factor analysis of replicated time series
• Factor modeling for high-dimensional time series: inference for the number of factors
• Fitting time series models to nonstationary processes
• Forecasting Using Principal Components From a Large Number of Predictors
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Modelling multiple time series via common factors
• Principal component analysis for second-order stationary vector time series
• SLEX Analysis of Multivariate Nonstationary Time Series
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• The control of the false discovery rate in multiple testing under dependency.
• Time series. Data analysis and theory.
• Time series: theory and methods.
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals

Cited in

(12)

• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• Dynamic orthogonal components for multivariate time series
• Moving dynamic principal component analysis for non-stationary multivariate time series
• Factor modeling of multivariate time series: a frequency components approach
• Component extraction analysis of multivariate time series
• A method for decomposing multivariate time series into a causal hierarchy within specific frequency bands
• Optimal dimension reduction for high-dimensional and functional time series
• Generalized principal component analysis for moderately non-stationary vector time series
• Principal component analysis for second-order stationary vector time series
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
• Canonical correlation for principal components of time series
• scientific article; zbMATH DE number 5310519 (Why is no real title available?)

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