Approximation of the principal components analysis of a stationary function

Alain Boudou

Statistics & Probability Letters, 2006, vol. 76, issue 6, 571-578

Abstract: 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.

Keywords: Principal; components; analysis; Stationary; random; function; Frequency; domain (search for similar items in EconPapers)
Date: 2006
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