Dimension Reduction for Time Series in a Blind Source Separation Context Using R
Multivariate time series observations are increasingly common in multiple fields of science but the complex dependencies of such data often translate into intractable models with large number of parameters. An alternative is given by first reducing the dimension of the series and then modelling the...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2021-07-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/3575 |