Low rank multivariate autoregressive model for dimensionality reduction in matlab

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 NameSize
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

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