Time Series

Misc

• Also see
  • Forecasting, Multivariate >> Dynamic Factor Models
• Packages
  • {freqdom.fda} (Paper) - Dynamic Functional Principal Components Analysis (FPCA)
  • {fdapace} - Functional Principal Component Analysis (FPCA) for sparsely or densely sampled random trajectories and time courses, via the Principal Analysis by Conditional Estimation (PACE) algorithm

Dynamic Mode Decomposition (DMD)

• Combines PCA and fourier transform
• Supposed to handle time series better than PCA
• Packages
  • {{pydmd}}