Conference
Sparse dynamic principal components analysis in the frequency domain
| Title: | Sparse dynamic principal components analysis in the frequency domain |
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| Authors: | Attard, Matt, Suda, David Paul, Sammut, Fiona, 39th International Workshop on Statistical Modelling (IWSM) |
| Publisher Information: | Mathematics Applications Consortium for Science & Industry (MACSI) |
| Publication Year: | 2025 |
| Collection: | University of Malta: OAR@UM / L-Università ta' Malta |
| Subject Terms: | Sparse matrices -- Data processing, Principal components analysis, Time-series analysis -- Mathematical models, Multivariate analysis, Eigenvectors |
| Description: | The main focus of this paper will be the sparsity treatment of dynamic principal components analysis (DPCA), which is an extension of principal components analysis (PCA) in a time series setting. Several sparse extensions for the high-dimensional data setting have been introduced in the past two decades. However, peer-reviewed literature addressing high-dimensionality in the DPCA setting remains scarce. This study addresses the high-dimensionality problem on the frequency-domain variant of DPCA, which replicates the classical dynamic approach on cross-spectra, the frequency domain analogue of the variancecovariance matrix. Taking cue from literature in sparse PCA, this research seeks to extend these methods on the frequency-domain DPCA via the cross-spectrum. The method being proposed is based on sparse eigenvector extraction from cross-spectral matrices with the la-penalty. Some preliminary results based on simulated data will be presented, and future research considerations set out. ; peer-reviewed |
| Document Type: | conference object |
| Language: | English |
| ISBN: | 978-1-03-692711-0 1-03-692711-3 |
| Relation: | https://www.um.edu.mt/library/oar/handle/123456789/140446 |
| Availability: | https://www.um.edu.mt/library/oar/handle/123456789/140446 |
| Rights: | info:eu-repo/semantics/openAccess ; The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. |
| Accession Number: | edsbas.4625247D |
| Database: | BASE |
| ISBN: | 9781036927110 1036927113 |
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