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Results tagged with pca
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user 17898
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How would PCA run on multivariate time-series data affect phase relationships across variables?
Given that PCA exploits info in the covariance matrix, I'm having trouble intuitively understanding how my end-result PCA components or "virtual signals" would accurately retain most of the phase relationships … If PCA does impact phase relationships substantially, then I may be in trouble, because I am attempting to run VAR models on datasets that have had PCA applied to them. …
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Is it possible to weight the high frequency components of a signal to give high frequecy com...
I have a multivariate time-series dataset, and would like to run PCA on my dataset to reduce the number of variables I input into a time-series model. … I am concerned that running PCA may end up biasing my data towards low-frequency signal interactions given that most of the power in my signals lies in the lower frequency end (0-10 Hz). …