Modified Oja's Algorithms For Principal Subspace and Minor Subspace extraction |
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Authors: | Chen Tianping |
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Affiliation: | (1) Department of Mathematics, Fudan University, 200433 Shanghai, China |
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Abstract: | Principal component extraction and minor component extraction are well known and powerful techniques in time series. Modified Oja's algorithms for extracting principal and minor component subspaces are proposed. The only difference between them is the sign of the first term in the iteration equations. Simulations show that the algorithms are effective. |
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Keywords: | minor component subspace extraction principal component subspace extraction |
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