Sparse principal component analysis for high‐dimensional stationary time series

DOI10.1111/sjos.12664arXiv2109.00299OpenAlexW3198233578MaRDI QIDQ6140347

Masanobu Taniguchi, Kou Fujimori, Yuichi Goto, Yan Liu

Publication date: 2 January 2024

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.00299

zbMATH Keywords

principal component analysissample covariance matrixhigh-dimensional statisticssparse estimationmultivariate stationary process

Mathematics Subject Classification ID

Statistics (62-XX)

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