Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
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Publication:332821
DOI10.1007/s11071-015-2547-6zbMath1359.62391OpenAlexW2270231073MaRDI QIDQ332821
Publication date: 9 November 2016
Published in: Nonlinear Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11071-015-2547-6
detrended cross-correlation analysismultidimensional non-stationary time seriesnon-stationary principal component analysis
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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