Multivariate time-series analysis and diffusion maps
Lian W, Talmon R, Zaveri H, Carin L, Coifman R. Multivariate time-series analysis and diffusion maps. Signal Processing 2015, 116: 13-28. DOI: 10.1016/j.sigpro.2015.04.003.Peer-Reviewed Original ResearchStatistical manifoldMultivariate time series analysisNonlinear dimensionality reduction frameworkDiffusion mapsEfficient parameter estimationPairwise geodesic distancesTime-evolving distributionsFinancial data analysisBayesian generative modelKullback-Leibler divergenceNonstationary time seriesDimensionality reduction frameworkEfficient approximationParameter estimationLow-dimensional representationAffinity kernelsParametric distributionTime series analysisDimensionality reduction methodologyGeodesic distanceLocal statisticsReduction frameworkReduction methodologyManifoldDimensionality reduction