Principal component analysis for non-stationary time series based on detrended cross-correlation analysis

DOI10.1007/s11071-015-2547-6zbMath1359.62391OpenAlexW2270231073MaRDI QIDQ332821

Xiaojun Zhao, Pengjian Shang

Publication date: 9 November 2016

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-015-2547-6

zbMATH Keywords

detrended cross-correlation analysismultidimensional non-stationary time seriesnon-stationary principal component analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
• Principal component analysis in linear systems: Controllability, observability, and model reduction
• Nonlinear Time Series Analysis
• Methods for dimension reduction and their application in nonlinear dynamics

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