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.
https://hal.archives-ouvertes.fr/hal-01208416
Contributor : Ahlame Douzal
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Submitted on : Friday, October 2, 2015 - 3:26:25 PM
Last modification on : Wednesday, January 23, 2019 - 1:23:09 AM
