Sparse principal component analysis for high-dimensional stationary time series
Statistics Theory
2021-09-17 v3 Statistics Theory
Abstract
We consider the sparse principal component analysis for high-dimensional stationary processes. The standard principal component analysis performs poorly when the dimension of the process is large. We establish the oracle inequalities for penalized principal component estimators for the processes including heavy-tailed time series. The rate of convergence of the estimators is established. We also elucidate the theoretical rate for choosing the tuning parameter in penalized estimators. The performance of the sparse principal component analysis is demonstrated by numerical simulations. The utility of the sparse principal component analysis for time series data is exemplified by the application to average temperature data.
Cite
@article{arxiv.2109.00299,
title = {Sparse principal component analysis for high-dimensional stationary time series},
author = {Kou Fujimori and Yuichi Goto and Yan Liu and Masanobu Taniguchi},
journal= {arXiv preprint arXiv:2109.00299},
year = {2021}
}
Comments
29 pages, 5 figures