An Exploratory Analysis of Multiple Multivariate Time Series

Abstract : Our aim is to extend standard principal component analysis for non-time series data to explore and highlight the main structure of multiple sets of multivariate time series. To this end, standard variance- covariance matrices are generalized to lagged cross-autocorrelation ma- trices. The methodology produces principal component time series, which can be analysed in the usual way on a principal component plot, except that the plot also includes time as an additional dimension.
Type de document :
Communication dans un congrès
ECML-PKDD, Sep 2015, Porto, Portugal. 2015
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https://hal.archives-ouvertes.fr/hal-01208416
Contributeur : Ahlame Douzal <>
Soumis le : vendredi 2 octobre 2015 - 15:26:25
Dernière modification le : samedi 3 octobre 2015 - 01:08:58

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  • HAL Id : hal-01208416, version 1

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Lynne Billard, Ahlame Douzal-Chouakria, Yaser Seyed. An Exploratory Analysis of Multiple Multivariate Time Series. ECML-PKDD, Sep 2015, Porto, Portugal. 2015. <hal-01208416>

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