Dimension reduction for stationary multivariate time series data

Fayed Alshammri; Jiazhu Pan

Dimension reduction for stationary multivariate time series data

Fayed Alshammri, Jiazhu Pan

Mathematics And Statistics

Research output: Contribution to conference › Poster

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Abstract

Chang et al. (2016) extended PCA by finding a linear transformation of the original variables such that the transformed series is segmented into uncorrelated subseries with lower dimensions. This method is called TS-PCA. In our current research, we will extend TS-PCA by reducing the dimension of the transformed subseries further by applying GDPCA by Pena and Yohai (2016) to the results from TS-PCA, and possibly reach a further dimension reduction. Hence, the proposed method is a combination of TS-PCA and GDPCA.

Original language	English
Number of pages	1
Publication status	Published - 19 May 2017
Event	The Education, Research, Humanities, and Statistics International Conference - Washington DC, United States Duration: 19 May 2017 → 19 May 2019

Conference

Conference	The Education, Research, Humanities, and Statistics International Conference
Country/Territory	United States
City	Washington DC
Period	19/05/17 → 19/05/19

Keywords

multivariate time series
TS-PCA
dimension reduction

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Alshammri-Pan-ERHS2017-Dimension-reduction-for-stationary-multivariate-time-series-dataFinal published version, 1 MB

Best Talk Prize
Alshammri, F. A. M. (Recipient), 2017
Prize: Prize (including medals and awards)

Cite this

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title = "Dimension reduction for stationary multivariate time series data",

abstract = "Chang et al. (2016) extended PCA by finding a linear transformation of the original variables such that the transformed series is segmented into uncorrelated subseries with lower dimensions. This method is called TS-PCA. In our current research, we will extend TS-PCA by reducing the dimension of the transformed subseries further by applying GDPCA by Pena and Yohai (2016) to the results from TS-PCA, and possibly reach a further dimension reduction. Hence, the proposed method is a combination of TS-PCA and GDPCA.",

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author = "Fayed Alshammri and Jiazhu Pan",

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TY - CONF

T1 - Dimension reduction for stationary multivariate time series data

AU - Alshammri, Fayed

AU - Pan, Jiazhu

PY - 2017/5/19

Y1 - 2017/5/19

N2 - Chang et al. (2016) extended PCA by finding a linear transformation of the original variables such that the transformed series is segmented into uncorrelated subseries with lower dimensions. This method is called TS-PCA. In our current research, we will extend TS-PCA by reducing the dimension of the transformed subseries further by applying GDPCA by Pena and Yohai (2016) to the results from TS-PCA, and possibly reach a further dimension reduction. Hence, the proposed method is a combination of TS-PCA and GDPCA.

AB - Chang et al. (2016) extended PCA by finding a linear transformation of the original variables such that the transformed series is segmented into uncorrelated subseries with lower dimensions. This method is called TS-PCA. In our current research, we will extend TS-PCA by reducing the dimension of the transformed subseries further by applying GDPCA by Pena and Yohai (2016) to the results from TS-PCA, and possibly reach a further dimension reduction. Hence, the proposed method is a combination of TS-PCA and GDPCA.

KW - multivariate time series

KW - TS-PCA

KW - dimension reduction

M3 - Poster

T2 - The Education, Research, Humanities, and Statistics International Conference

Y2 - 19 May 2017 through 19 May 2019

ER -

Dimension reduction for stationary multivariate time series data

Abstract

Conference

Keywords

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Prizes

Best Talk Prize

Cite this