Published
2009-07-01
COMPARACIÓN ENTRE DOS MÉTODOS DE REDUCCIÓN DE DIMENSIONALIDAD EN SERIES DE TIEMPO
COMPARISON BETWEEN TWO DIMENSIONALITY REDUCTION METHODS IN TIME SERIES
Keywords:
series de tiempo multivariadas, reducción de dimensionalidad, dominio del tiempo, dominio de las frecuencias (es)Multivariate time series, Reduction of dimensionality, Time domain, Frequency domain (en)
Downloads
En este trabajo se analizan dos métodos de reducción de dimensionalidad en series de tiempo multivariadas estacionarias: el método de Peña y Box, basado en el dominio del tiempo, y el método de Brillinger, basado en el dominio de las frecuencias. Se encontraron dos fallas en el método de Peña y Box, y se propusieron correcciones a estas. También se compararon los dos métodos con respecto a la capacidad para identificar el número de factores latentes mediante simulaciones y se realizó una aplicación empírica.
Two methods of dimensionality reduction of multivariate stationary time series are analyzed: Peña-Box’s methodology in the time domain and Brillinger’s methodology in the frequency domain. Two failures of Peña-Box’s methodology were found, and their corrections are given. Also the two methods are compared regarding to their capacities to identify the number of latent factors by simulations and an empirical application.
Article abstract page views
409
Downloads
Download data is not yet available.
How to Cite
Zhang, H. (2009). COMPARISON BETWEEN TWO DIMENSIONALITY REDUCTION METHODS IN TIME SERIES. Revista Colombiana De Estadística, 32(2), 189-212. https://revistas.unal.edu.co/index.php/estad/article/view/29762
License
Copyright (c) 2009 Revista Colombiana de Estadística
This work is licensed under a Creative Commons Attribution 4.0 International License.
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
