Principal Components in Time Series Forecast

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This article describes a time series forecast method based on the principal component analysis applied to the data matrix derived from the initial time series.
Original languageEnglish
Pages (from-to)112-121
Number of pages10
JournalJournal of Computational and Graphical Statistics
Issue number1
Publication statusPublished - 1997
Externally publishedYes


  • Finite difference equations
  • Principal components
  • Time series forecast

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