Compact Dynamic Inner Canonical Correlation Analysis for Nonstationary Dynamic Feature Extraction and Prediction
Junhao Chen, S. Joe Qin · IFAC-PapersOnLine · 2023
In this paper, a novel compact dynamic inner canonical correlation analysis (DiCCA) algorithm with autoregressive integrated moving average (ARIMA) inner models is proposed to better capture the latent dynamics of high dimensional time series. It can extract latent factors that capture the underlying dynamics of the data and model them using the ARIMA structure, which has fewer parameters and more flexibility than the potentially high-order AR structure used in the original DiCCA algorithm. The proposed algorithm can also handle nonstationary latent factors by explicitly modeling the unit roots. The algorithm integrates the extraction and the modeling of a latent factor in one step, resulting in a consistent inner and outer model. The algorithm is applied to an industrial dataset and shows better performance than the original DiCCA algorithm.