Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series (Q4690952)
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scientific article; zbMATH DE number 6962786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series |
scientific article; zbMATH DE number 6962786 |
Statements
Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series (English)
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23 October 2018
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conditional mean
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low rank
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nonlinear dependence
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principal components
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