Abstract
Non-stationarities are an ubiquitous phenomenon in time-series data, yet they pose a challenge to standard methodology: classification models and ICA components, for example, cannot be estimated reliably under distribution changes because the classic assumption of a stationary data generating process is violated. Conversely, understanding the nature of observed non-stationary behaviour often lies at the heart of a scientific question. To this end, we propose a novel unsupervised technique: Stationary Subspace Analysis (SSA). SSA decomposes a multi-variate time-series into a stationary and a non-stationary subspace. This factorization is a universal tool for furthering the understanding of non-stationary data. Moreover, we can robustify other methods by restricting them to the stationary subspace. We demonstrate the performance of our novel concept in simulations and present a real world application from Brain Computer Interfacing.
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© 2009 Springer-Verlag Berlin Heidelberg
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von Bünau, P., Meinecke, F.C., Müller, KR. (2009). Stationary Subspace Analysis. In: Adali, T., Jutten, C., Romano, J.M.T., Barros, A.K. (eds) Independent Component Analysis and Signal Separation. ICA 2009. Lecture Notes in Computer Science, vol 5441. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-00599-2_1
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DOI: https://doi.org/10.1007/978-3-642-00599-2_1
Publisher Name: Springer, Berlin, Heidelberg
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