Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction

DOI10.1198/016214502388618573zbMath1048.62086OpenAlexW2064254430MaRDI QIDQ4468426

Ker-Chau Li, Kerby A. Shedden

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214502388618573

zbMATH Keywords

dimension reductionARMA modelsmultivariate time seriestime series decompositionfunctional-magnetic resonance imagingUS county-level unemployment

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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