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Data-adaptive Principal Component Analysis for High Dimensional Data

He, Lingyu

Description

Among many well designed techniques for dimension reduction, the Principal Component Analysis (PCA) is one of the most popular and applicable methods. In this thesis, we address the challenges encountered when modelling and forecasting the high-dimensional data with PCA related methods in three problems. In Chapter 2, we propose a two-style factor model to improve the forecasting of high-dimensional time series. The model pursues two types of low-dimensional features for the original...[Show more]

CollectionsOpen Access Theses
Date published: 2020
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/216065
DOI: 10.25911/5fb78d66e474a

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