Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
DOI10.1016/j.csda.2004.12.011zbMath1445.62244OpenAlexW2006916390MaRDI QIDQ959318
Hernando Ombao, Moon-Ho Ringo Ho
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2004.12.011
principal components analysismultivariate locally stationary time seriestime-varying eigenvalues and eigenvectorstime-varying spectral density matrix
Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and spectral analysis (62M15)
Related Items (12)
Uses Software
Cites Work
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- Signal extraction from nonstationary time series
- Improved frequency selective filters
- Principal component analysis for a stationary random function defined on a locally compact abelian group
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- A likelihood approximation for locally stationary processes
- A simple generalised crossvalidation method of span selection for periodogram smoothing
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Forecasting Using Principal Components From a Large Number of Predictors
- Recursive and en-bloc approaches to signal extraction
- SLEX Analysis of Multivariate Nonstationary Time Series
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