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Dimension reduction for time series in a blind source separation context using r

Authors :
Klaus Nordhausen
Markus Matilainen
Joni Virta
Sara Taskinen
Jari Miettinen
Vienna University of Technology
Turku PET Centre
Dept Signal Process and Acoust
Department of Mathematics and Systems Analysis
University of Jyväskylä
Aalto-yliopisto
Aalto University
Department of Signal Processing and Acoustics
Source :
Journal of Statistical Software; Vol 98 (2021); 1-30
Publication Year :
2021
Publisher :
Foundation for Open Access Statistics, 2021.

Abstract

Funding Information: The work of KN was supported by the CRoNoS COST Action IC1408 and the Austrian Science Fund P31881-N32. The work of ST was supported by the CRoNoS COST Action IC1408. The work of JV was supported by Academy of Finland (grant 321883). We would like to thank the anonymous reviewers for their comments which improved the paper and package considerably. Publisher Copyright: © 2021, American Statistical Association. All rights reserved. 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 resulting uncorrelated signals univariately, avoiding the need for any covariance parameters. A popular and effective framework for this is blind source separation. In this paper we review the dimension reduction tools for time series available in the R package tsBSS. These include methods for estimating the signal dimension of second-order stationary time series, dimension reduction techniques for stochastic volatility models and supervised dimension reduction tools for time series regression. Several examples are provided to illustrate the functionality of the package.

Details

Language :
English
ISSN :
15487660
Database :
OpenAIRE
Journal :
Journal of Statistical Software; Vol 98 (2021); 1-30
Accession number :
edsair.doi.dedup.....eedf1086d10f1e6aced502eb9842c447