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Some contributions to PCA for time series

Title
Some contributions to PCA for time series
Type
Summary of Presentation in a National Conference
Year
2010
Authors
Isabel Silva
(Author)
FEUP
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Conference proceedings National
Pages: 25-27
XVII Jornadas de Classificação e Análise de Dados - JOCLAD 2010
Lisboa, 25 a 27 de Março
Scientific classification
FOS: Natural sciences > Mathematics
Other information
Abstract (EN): Multidimensional time series appear in many fields of application. Sometimes, it can be useful to use PCA to reach dimensionality reduction. However, formal inference procedures on PC rely on the independence of the variables. Therefore, several PC-like techniques, as Singular Spectrum Analysis, are used to attain this reduction by decomposing the original series into a sum of a small number of interpretable components. Here, SSA and its extension are described and applied to real datasets.
Language: English
Type (Professor's evaluation): Scientific
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