Principal component analysis for second-order stationary vector time series
نویسندگان
چکیده
منابع مشابه
Competitive principal component analysis for locally stationary time series
Abstract–A new unsupervised algorithm is proposed that performs competitive principal component analysis (PCA) of a time series. A set of expert PCA networks compete, through the Mixture of Experts (MOE) formalism, on the basis of their ability to reconstruct the original signal. The resulting network finds an optimal projection of the input onto a reduced dimensional space as a function of the...
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A new unsupervised algorithm is proposed that performs competitive principal component analysis (PCA) of a time series. A set of expert PCA networks compete, through the mixture of experts (MOE) formalism, on the basis of their ability to reconstruct the original signal. The resulting network finds an optimal projection of the input onto a reduced dimensional space as a function of the input an...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2018
ISSN: 0090-5364
DOI: 10.1214/17-aos1613