Generalized Dynamic Principal Components

Brillinger defined dynamic principal components (DPC) for time series based on a reconstruction criterion. He gave a very elegant theoretical solution and proposed an estimator which is consistent under stationarity. Here, we propose a new enterally empirical approach to DPC. The main differences wi...

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Detalles Bibliográficos
Autores principales: Peña, D., Yohai, V.J.
Formato: JOUR
Materias:
Dimensionality reduction
Reconstruction of data
Vector time series
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_01621459_v111_n515_p1121_Pena
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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