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Principal Components Analysis Based on Multivariate MM Estimators With Fast and Robust Bootstrap

✍ Scribed by Salibián-Barrera, Matías; Van Aelst, Stefan; Willems, Gert


Book ID
126624250
Publisher
American Statistical Association
Year
2006
Tongue
English
Weight
596 KB
Volume
101
Category
Article
ISSN
0162-1459

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A dynamic principal components analysis
✍ Manuel Salvador; Jose Luis Gallizo; Pilar Gargallo 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 196 KB 👁 2 views

## Abstract In this paper, we propose a multivariate dynamic linear model (MDLM) that allows us to carry out a dynamic principal components analysis in a set of multivariate time series and to analyse the similarity in their evolution once the influence of non‐stationarity in each of them has been