Time-dependent frequency domain principal components analysis of multichannel non-stationary signals

Computational Statistics and Data Analysis

Volumn 50, Issue 9, 2006, Pages 2339-2360

  Ombao, Hernando ^a   Ho, Moon Ho Ringo ^b  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b MCGILL UNIVERSITY   (Canada)

Author keywords

Multivariate locally stationary time series; Principal components analysis; Time varying eigenvalues and eigenvectors; Time varying spectral density matrix

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; FAST FOURIER TRANSFORMS; FREQUENCY DOMAIN ANALYSIS; SIGNAL PROCESSING; TIME VARYING CONTROL SYSTEMS;

MULTIVARIATE LOCALLY STATIONARY TIME SERIES; TIME-VARYING EIGENVALUES AND EIGENVECTORS; TIME-VARYING SPECTRAL DENSITY MATRIX;

PRINCIPAL COMPONENT ANALYSIS;

EID: 33644643751     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.12.011     Document Type: Article

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