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
Contributeur : Ahlame Douzal
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Soumis le : vendredi 2 octobre 2015 - 15:26:25
Dernière modification le : jeudi 11 janvier 2018 - 06:21:05
