Article
Principal dynamical components
Author/s | Domínguez de la Iglesia, Manuel
Tabak, Esteban G. |
Department | Universidad de Sevilla. Departamento de Análisis Matemático |
Publication Date | 2013 |
Deposit Date | 2016-06-16 |
Published in |
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Abstract | A new procedure is proposed for the dimensional reduction of time series. Similarly to principal components, the procedure seeks a low-dimensional manifold that minimizes information loss. Unlike principal components, ... A new procedure is proposed for the dimensional reduction of time series. Similarly to principal components, the procedure seeks a low-dimensional manifold that minimizes information loss. Unlike principal components, however, the new procedure involves dynamical considerations, through the proposal of a predictive dynamical model in the reduced manifold. Hence the minimization of the uncertainty is not only over the choice of a reduced manifold, as in principal components, but also over the parameters of the dynamical model. Further generalizations are provided to non-autonomous and nonMarkovian scenarios, which are then applied to historical sea-surface temperature data. |
Project ID. | BFM2006-13000-C03-01
![]() FQM-229 ![]() FQM-481 ![]() P06-FQM-01738 ![]() 2008-0207 ![]() DMS 0908077 ![]() |
Citation | Domínguez de la Iglesia, M. y Tabak, E.G. (2013). Principal dynamical components. Communications on Pure and Applied Mathematics, 66 (1), 48-82. |
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