Stationary subspace analysis based on second-order statistics

DOI10.1016/j.cam.2023.115379arXiv2103.06148OpenAlexW3134405815WikidataQ122259856 ScholiaQ122259856MaRDI QIDQ6049301

Sara Taskinen, Lea Flumian, Markus Matilainen, Klaus Nordhausen

Publication date: 15 September 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.06148

zbMATH Keywords

autocorrelationmultivariate time seriessupervised dimension reductionjoint diagonalizationsecond-order stationary

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx) Nonparametric inference (62Gxx)

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