Title	Robust Generalized Dynamic Principal Components
Creator	Peña, Daniel
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2015-11-17T13:34
Description	We define generalized dynamic principal components (GDPC) as the time series minimizing a reconstruction of the original series with an interpolation criterion. We first used as criterion the mean squared error and obtained a solution that can be applied under more general conditions than the one used by Brillinger, including the case of non stationary series and relatively short series. Then we used a robust criterion to obtain a robust version of the generalized dynamic principal components that will work when the series have outlier contamination. Our non robust and robust procedures will be illustrated with real datasets.
Extent	44 minutes
Subject	Mathematics; Statistics
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Universidad Carlos III Madrid
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2016-09-14
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0314238
URI	http://hdl.handle.net/2429/59170
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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