Principal component analysis for multivariate stochastic processes (Q3479419)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Principal component analysis for multivariate stochastic processes |
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Principal component analysis for multivariate stochastic processes (English)
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1990
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second order stochastic process
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data reduction problem
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mean square error
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principal components
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time series
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Hankel matrix
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stochastic realization
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best linear least-squares prediction
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Schmidt pairs
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singular values
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infinite matrix
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linear innovations
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stationary case
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spectral characteristic
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rational spectrum
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