Principal components analysis of nonstationary time series data
نویسندگان
چکیده
منابع مشابه
Principal components analysis of nonstationary time series data
The effect of nonstationarity in time series columns of input data in principal components analysis is examined. This usually happens when indexing economic indicators for monitoring purposes. The first component averages all the variables without reducing dimensionality. As an alternative, sparse principal components analysis can be used but attainment of sparsity among the loadings is influen...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2008
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-008-9082-y