Principal dynamical components

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, 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.