Principal component analysis for multivariate stochastic processes

DOI10.1080/17442509008833640zbMath0701.62092OpenAlexW1968989860MaRDI QIDQ3479419

Angelo Cavazzana, Michele Pavon

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833640

zbMATH Keywords

time seriesHankel matrixsingular valuesmean square errorprincipal componentsinfinite matrixlinear innovationsstochastic realizationspectral characteristicstationary caseSchmidt pairsrational spectrumsecond order stochastic processbest linear least-squares predictiondata reduction problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and spectral analysis (62M15)

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