Abstract
Second‐order source separation (SOS) is a data analysis tool which can be used for revealing hidden structures in multivariate time series data or as a tool for dimension reduction. Such methods are nowadays increasingly important as more and more high‐dimensional multivariate time series data are measured in numerous fields of applied science. Dimension reduction is crucial, as modeling such high‐dimensional data with multivariate time series models is often impractical as the number of parameters describing dependencies between the component time series is usually too high. SOS methods have their roots in the signal processing literature, where they were first used to separate source signals from an observed signal mixture. The SOS model assumes that the observed time series (signals) is a linear mixture of latent time series (sources) with uncorrelated components. The methods make use of the second‐order statistics—hence the name “second‐order source separation.” In this review, we discuss the classical SOS methods and their extensions to more complex settings. An example illustrates how SOS can be performed.This article is categorized under:Statistical Models > Time Series ModelsStatistical and Graphical Methods of Data Analysis > Dimension ReductionData: Types and Structure > Time Series, Stochastic Processes, and Functional Data
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.