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Effective dimension estimation for time series presentation in eigenvector basis

Keywords:

D.V. Isakevich – Research Engineer, Department of General and Applied Physics, Vladimir State University. E-mail: voiceofhope@yandex.ru


The dimension of time series representation in covariance matrix eigenvector basis is estimated. The estimation is built on particular distribution of time series error level. The conditions necessary for such estimation are formulated in order to estimate a dimension and to be stable to perturbation. The particular simplest case based on beta distribution of error level is considered.
References:

 

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