Dimension Reduction of Polynomial Regression Models for the Estimation of Granger Causality in High-Dimensional Time Series.
Elsa SiggiridouDimitris KugiumtzisPublished in: IEEE Trans. Signal Process. (2021)
Keyphrases
- dimension reduction
- regression model
- multivariate time series
- high dimensional time series
- granger causality
- model selection
- feature extraction
- high dimensional
- dimensionality reduction
- low dimensional
- principal component analysis
- linear model
- high dimensional data
- variable selection
- linear discriminant analysis
- regression analysis
- partial least squares
- feature selection
- high dimensionality
- cluster analysis
- singular value decomposition
- unsupervised learning
- feature space
- gaussian process
- preprocessing
- cross validation
- causal relationships
- linear models
- electricity consumption
- real world
- least squares
- impulse response
- data analysis