COMPARISON BETWEEN TWO DIMENSIONALITY REDUCTION METHODS IN TIME SERIES COMPARACIÓN ENTRE DOS MÉTODOS DE REDUCCIÓN DE DIMENSIONALIDAD EN SERIES DE TIEMPO
Two methods of dimensionality reduction of multivariate stationary time series are analyzed: Peña-Box’s methodology in the time domain and Brillinger’s methodology in the frequency domain. Two failures of Peña-Box’s methodology were found, and their corrections are given. Also the two methods are co...
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2009-11-01
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| Series: | Revista Colombiana de Estadística |
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| Online Access: | http://www.revistas.unal.edu.co/index.php/estad/article/view/29762 |