The following Matlab project contains the source code and Matlab examples used for low rank multivariate autoregressive model for dimensionality reduction.
Despite the fact that they do not consider the temporal nature of data, classic dimensionality reduction techniques, such as PCA, are widely applied to time series data.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

## Project Files:

File Name | Size |
---|---|

license.txt | 1314 |

evalfreeenergy.m | 3563 |

example.m | 1241 |

gamma_kl.m | 728 |

gauss_kl.m | 1150 |

logdet.m | 3222 |

lrmarevb.m | 780 |

lrmarinit.m | 3697 |

lrmarmvb.m | 2968 |

lrmartrain.m | 1502 |

obslike.m | 2896 |

schauderbasis.m | 644 |