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 <>
Soumis le : vendredi 2 octobre 2015 - 15:26:25
Dernière modification le : samedi 3 octobre 2015 - 01:08:58
