Principal component analysis using frequency components of multivariate time series

DOI10.1016/J.CSDA.2020.107164OpenAlexW3120239893MaRDI QIDQ830499FDOQ830499

Authors: Raanju R. Sundararajan 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.04515

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zbMATH Keywords

dimension reductionprincipal component analysismultivariate time seriesspectral domainspectral matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Time series: theory and methods.
• Forecasting Using Principal Components From a Large Number of Predictors
• Factor modeling for high-dimensional time series: inference for the number of factors
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• Fitting time series models to nonstationary processes
• The control of the false discovery rate in multiple testing under dependency.
• Dynamic orthogonal components for multivariate time series
• Modelling multiple time series via common factors
• SLEX Analysis of Multivariate Nonstationary Time Series
• Principal component analysis for second-order stationary vector time series
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Time series. Data analysis and theory.
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Title not available (Why is that?)
• Evolutionary factor analysis of replicated time series

Cited In (12)

• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• Dynamic orthogonal components for multivariate time series
• Moving dynamic principal component analysis for non-stationary multivariate time series
• Factor modeling of multivariate time series: a frequency components approach
• Component extraction analysis of multivariate time series
• A method for decomposing multivariate time series into a causal hierarchy within specific frequency bands
• Optimal dimension reduction for high-dimensional and functional time series
• Generalized principal component analysis for moderately non-stationary vector time series
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
• Principal component analysis for second-order stationary vector time series
• Title not available (Why is that?)
• Canonical correlation for principal components of time series

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