Principal component analysis for second-order stationary vector time series
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Publication:82525
DOI10.1214/17-aos1613zbMath1454.62255arXiv1410.2323MaRDI QIDQ82525
Bin Guo, Qiwei Yao, Jinyuan Chang, Jinyuan Chang, Qiwei Yao, Bin Guo
Publication date: 1 October 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.2323
dimension reductioncross-correlationweak stationarityautocorrelation\(\alpha\)-mixinghigh-dimensional time serieseigenanalysis
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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