Moving dynamic principal component analysis for non-stationary multivariate time series

DOI10.1007/s00180-021-01081-8zbMath1505.62024OpenAlexW3014885257MaRDI QIDQ2667028

Fayed Alshammri, Jiazhu Pan

Publication date: 23 November 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/75292/

zbMATH Keywords

dimension reductionmultivariate time serieseigenanalysisnon-stationary datamoving cross-correlationmoving cross-covariance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

rccm ⋮ MCOV ⋮ MDPCA

Uses Software

• R
• CaterpillarSSA
• MACF

Cites Work

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• Principal component analysis for second-order stationary vector time series
• Factor modeling for high-dimensional time series: inference for the number of factors
• Nonstationary dynamic factor analysis
• Modelling multiple time series via common factors
• Identifying a Simplifying Structure in Time Series
• Testing for Common Trends
• The Multivariate Portmanteau Statistic
• A canonical analysis of multiple time series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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