Disentangling dynamic and stochastic modes in multivariate time series

A signal decomposition is presented that disentangles the deterministic and stochastic components of a multivariate time series. The dynamical component analysis (DyCA) algorithm is based on the assumption that an unknown set of ordinary differential equations (ODEs) describes the dynamics of the de...

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Bibliographic Details

Published in:	Frontiers in Applied Mathematics and Statistics
Main Authors:	Christian Uhl, Annika Stiehl, Nicolas Weeger, Markus Schlarb, Knut Hüper
Format:	Article
Language:	English
Published:	Frontiers Media S.A. 2024-10-01
Subjects:	dynamical component analysis (DyCA) dynamic mode decomposition (DMD) dimension reduction dynamical systems blind source separation differential equations
Online Access:	https://www.frontiersin.org/articles/10.3389/fams.2024.1456635/full