Moving dynamic principal component analysis for non-stationary multivariate time series.
Fayed AlshammriJiazhu PanPublished in: Comput. Stat. (2021)
Keyphrases
- non stationary
- multivariate time series
- autoregressive
- principal component analysis
- financial time series
- dimension reduction
- multivariate time series data
- random fields
- face recognition
- high dimensional
- dimensionality reduction
- empirical mode decomposition
- low dimensional
- linear discriminant analysis
- change point detection