Approximation of the principal components analysis of a stationary function

The aim of this article is the approximation of the principal components analysis (PCA) of a stationary function, defined on , by the PCA of a stationary series. For this, we use a discretization of the real line. We study the behavior of the approximation when the step of discretization decreases.

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Year of publication:	2006
Authors:	Boudou, Alain
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 6, p. 571-578
Publisher:	Elsevier
Keywords:	Principal components analysis Stationary random function Frequency domain

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223243