相关论文: Dimensionality reduction for time series data

Time series forecasting is often fundamental to scientific and engineering problems and enables decision making. With ever increasing data set sizes, a trivial solution to scale up predictions is to assume independence between interacting…

Real-world time series data are often generated from several sources of variation. Learning representations that capture the factors contributing to this variability enables a better understanding of the data via its underlying generative…

Data reconciliation (DR) and Principal Component Analysis (PCA) are two popular data analysis techniques in process industries. Data reconciliation is used to obtain accurate and consistent estimates of variables and parameters from…

High-dimensional multivariate time series are challenging due to the dependent and high-dimensional nature of the data, but in many applications there is additional structure that can be exploited to reduce computing time along with…

We study adaptive data-dependent dimensionality reduction in the context of supervised learning in general metric spaces. Our main statistical contribution is a generalization bound for Lipschitz functions in metric spaces that are…

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different…

We present a data-driven method for separating complex, multiscale systems into their constituent time-scale components using a recursive implementation of dynamic mode decomposition (DMD). Local linear models are built from windowed…

We investigate whether the standard dimensionality reduction technique of PCA inadvertently produces data representations with different fidelity for two different populations. We show on several real-world data sets, PCA has higher…

Principal components analysis (PCA) is a classical method for the reduction of dimensionality of data in the form of n observations (or cases) of a vector with p variables. For a simple model of factor analysis type, it is proved that…

As tensor-valued data become increasingly common in time series analysis, there is a growing need for flexible and interpretable models that can handle high-dimensional predictors and responses across multiple modes. We propose a unified…

High dimensional data has introduced challenges that are difficult to address when attempting to implement classical approaches of statistical process control. This has made it a topic of interest for research due in recent years. However,…

Principal Component Analysis (PCA) is one of the most used tools for extracting low-dimensional representations of data, in particular for time series. Performances are known to strongly depend on the quality (amount of noise) and the…

Principal component analysis (PCA) is perhaps the most widely used method for data dimensionality reduction. A key question in PCA is deciding how many factors to retain. This manuscript describes a new approach to automatically selecting…

Most dimensionality reduction methods employ frequency domain representations obtained from matrix diagonalization and may not be efficient for large datasets with relatively high intrinsic dimensions. To address this challenge, Correlated…

This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…

We address the problem of forecasting high-dimensional functional time series through a two-fold dimension reduction procedure. The difficulty of forecasting high-dimensional functional time series lies in the curse of dimensionality. In…

Dimensionality reduction is a crucial step for pattern recognition and data mining tasks to overcome the curse of dimensionality. Principal component analysis (PCA) is a traditional technique for unsupervised dimensionality reduction, which…

The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…

Commonly used in computer vision and other applications, robust PCA represents an algorithmic attempt to reduce the sensitivity of classical PCA to outliers. The basic idea is to learn a decomposition of some data matrix of interest into…

For numerous reasons there raises a need for dimension reduction that preserves certain characteristics of data. In this work we focus on data coming from a mixture of Gaussian distributions and we propose a method that preserves…