Contrastive Multivariate Singular Spectrum Analysis

31 Oct 2018Abdi-Hakin DirieAbubakar AbidJames Zou

We introduce Contrastive Multivariate Singular Spectrum Analysis, a novel unsupervised method for dimensionality reduction and signal decomposition of time series data. By utilizing an appropriate background dataset, the method transforms a target time series dataset in a way that evinces the sub-signals that are enhanced in the target dataset, as opposed to only those that account for the greatest variance... (read more)

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