Time-dependent frequency domain principal components analysis of multichannel non-stationary signals

DOI10.1016/j.csda.2004.12.011zbMath1445.62244OpenAlexW2006916390MaRDI QIDQ959318

Hernando Ombao, Moon-Ho Ringo Ho

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.12.011

zbMATH Keywords

principal components analysismultivariate locally stationary time seriestime-varying eigenvalues and eigenvectorstime-varying spectral density matrix

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

Principal component analysis using frequency components of multivariate time series ⋮ Principal component analysis for non-stationary time series based on detrended cross-correlation analysis ⋮ Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels ⋮ Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices ⋮ Factor modeling of multivariate time series: a frequency components approach ⋮ Evolutionary Factor Analysis of Replicated Time Series ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Forecasting binary longitudinal data by a functional PC-ARIMA model ⋮ Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series ⋮ A study of longitudinal trends in time-frequency transformations of EEG data during a learning experiment ⋮ Region-referenced spectral power dynamics of EEG signals: a hierarchical modeling approach ⋮ Time-varying functional principal components for non-stationary \(\text{EpCO}_2\) in freshwater systems

Uses Software

• astsa

Cites Work

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• Signal extraction from nonstationary time series
• Improved frequency selective filters
• Principal component analysis for a stationary random function defined on a locally compact abelian group
• Fitting time series models to nonstationary processes
• A likelihood approximation for locally stationary processes
• A simple generalised crossvalidation method of span selection for periodogram smoothing
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Forecasting Using Principal Components From a Large Number of Predictors
• Recursive and en-bloc approaches to signal extraction
• SLEX Analysis of Multivariate Nonstationary Time Series

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