Principal component analysis with autocorrelated data

DOI10.1080/00949655.2020.1764556MaRDI QIDQ5036860zbMATH OpenOpenAlexFDO

Authors Bartolomeu Zamprogno, Valdério Anselmo Reisen, Pascal Bondon, Higor Henrique Aranda Cotta, Neyval C. jun. Reis

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://hal-centralesupelec.archives-ouvertes.fr/hal-02560885/file/SourcepaperJSAC-Revis2020v3final5_nocolor.pdf

zbMATH Keywords

air pollutionautocorrelationcross-correlationeigenvalueprincipal component analysis

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• Asymptotic expansions for the distributions of the sample roots under nonnormality
• Dynamic orthogonal components for multivariate time series
• Elements of multivariate time series analysis.
• Estimating the number of common factors in serially dependent approximate factor models
• How many principal components? Stopping rules for determining the number of non-trivial axes revisited
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Linear algebra and matrix analysis for statistics
• Principal component analysis.
• Robust factor modelling for high-dimensional time series: an application to air pollution data
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• The impact of measurement error on principal component analysis
• Time series: theory and methods.

Cited in

(3)

• Self-Consistency and Principal Component Analysis
• Stability of principal components under normal and non-normal parent populations and different covariance structures scenarios
• A longitudinal study of the influence of air pollutants on children: a robust multivariate approach

Describes a project that uses

Uses Software

• R

This page was built for publication: Principal component analysis with autocorrelated data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5036860)