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Communication Dans Un Congrès Année : 2015

An Exploratory Analysis of Multiple Multivariate Time Series

Yaser Seyed
  • Fonction : Auteur

Résumé

Our aim is to extend standard principal component analysis for non-time series data to explore and highlight the main structure of multiple sets of multivariate time series. To this end, standard variance- covariance matrices are generalized to lagged cross-autocorrelation ma- trices. The methodology produces principal component time series, which can be analysed in the usual way on a principal component plot, except that the plot also includes time as an additional dimension.
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Dates et versions

hal-01208416 , version 1 (02-10-2015)

Identifiants

  • HAL Id : hal-01208416 , version 1

Citer

Lynne Billard, Ahlame Douzal-Chouakria, Yaser Seyed. An Exploratory Analysis of Multiple Multivariate Time Series. ECML-PKDD, Sep 2015, Porto, Portugal. ⟨hal-01208416⟩
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