Principal component analysis for second-order stationary vector time series

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

zbMATH Keywords

dimension reductioncross-correlationweak stationarityautocorrelation\(\alpha\)-mixinghigh-dimensional time serieseigenanalysis

Mathematics Subject Classification ID

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

Related Items

Principal component analysis using frequency components of multivariate time series, Generalized principal component analysis for moderately non-stationary vector time series, Confidence regions for entries of a large precision matrix, Moving dynamic principal component analysis for non-stationary multivariate time series, Unnamed Item, Testing the martingale difference hypothesis in high dimension, Factor modeling of multivariate time series: a frequency components approach, Factor Models for High-Dimensional Tensor Time Series, Constrained Factor Models for High-Dimensional Matrix-Variate Time Series, Multi-population mortality forecasting using tensor decomposition, Blind source separation for compositional time series, A Kernel Multiple Change-point Algorithm via Model Selection, HDTSA, Mortality forecasting using factor models: time-varying or time-invariant factor loadings?, Moment bounds for large autocovariance matrices under dependence

Uses Software

• FastICA
• itsmr

Cites Work

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