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Approximation of the principal components analysis of a stationary function

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  • Boudou, Alain

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.

Suggested Citation

  • Boudou, Alain, 2006. "Approximation of the principal components analysis of a stationary function," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 571-578, March.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:6:p:571-578
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    References listed on IDEAS

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    1. Boudou, A. & Dauxois, J., 1994. "Principal Component Analysis for a Stationary Random Function Defined on a Locally Compact Abelian Group," Journal of Multivariate Analysis, Elsevier, vol. 51(1), pages 1-16, October.
    2. Nagai, Takeaki & Taniguchi, Masanobu, 1987. "Walsh spectral analysis of multiple dyadic stationary processes and its applications," Stochastic Processes and their Applications, Elsevier, vol. 24(1), pages 19-30, February.
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    Cited by:

    1. Boudou, Alain & Viguier-Pla, Sylvie, 2019. "Commuter of operators in a Hilbert space," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 244-262.

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