Principal dynamical components

DOI10.1002/CPA.21411MaRDI QIDQ4902775zbMATH OpenOpenAlexFDO

Authors Manuel D. De La Iglesia, Esteban G. Tabak

Publication date 17 January 2013

Published in Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.3963, https://idus.us.es/xmlui/handle/11441/42398

zbMATH Keywords

dynamical modeltime series

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: A new procedure is proposed for the dimensional reduction of time series. Similarly to principal components, the procedure seeks a low-dimensional manifold that minimizes information loss. Unlike principal components, however, the new procedure involves dynamical considerations, through the proposal of a predictive dynamical model in the reduced manifold. Hence the minimization of the uncertainty is not only over the choice of a reduced manifold, as in principal components, but also over the parameters of the dynamical model. Further generalizations are provided to non-autonomous and non-Markovian scenarios, which are then applied to historical sea-surface temperature data.

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Cites work

• A Survey of Model Reduction by Balanced Truncation and Some New Results
• Automated Generation of Reduced Stochastic Weather Models I: Simultaneous Dimension and Model Reduction for Time Series Analysis
• Density estimation by dual ascent of the log-likelihood
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Cited in

(10)

• An entropic approach to dimensionality reduction on discrete processes
• Optimal dimension reduction for high-dimensional and functional time series
• Bayesian optimization of empirical model with state-dependent stochastic forcing
• The reduction of complex dynamical systems using principal interaction patterns
• Dynamical principle
• Analysis of 20th century surface air temperature using linear dynamical modes
• Principal components: a descent algorithm
• TEMPORARY DIMENSIONS OF MULTIVARIATE DATA FROM PALEOCLIMATE RECORDS — A NOVEL MEASURE FOR DYNAMIC CHARACTERIZATION OF LONG-TERM CLIMATE CHANGE
• Automated Generation of Reduced Stochastic Weather Models I: Simultaneous Dimension and Model Reduction for Time Series Analysis
• Principal Inertia Components and Applications

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