An Exploratory Analysis of Multiple Multivariate Time Series
Lynne Billard, Ahlame Douzal-Chouakria, Seyed Yaser Samadi · 2015
Abstract. Our aim is to extend standard principal component analysis for non-time series data to explore and highlight the main structure of multiple sets of multivariate time series. To this end, standard variance-covariance matrices are generalized to lagged cross-autocorrelation ma-trices. The methodology produces principal component time series, which can be analysed in the usual way on a principal component plot, except that the plot also includes time as an additional dimension. 1