Method and system for analyzing multi-variate data using canonical decomposition
First Claim
1. A computer-assisted method of determining dynamic characteristics of data, the data being causal and having translation-invariant statistics with respect to a variable, which method comprises the steps of:
- receiving signals representing the data, the signals originating from a set of components, the set of components having dynamic relationships with each other;
calculating a set of multi-linear autoregressive coefficients of the data, the multi-linear autoregressive coefficients yielding an array of square matrices, each square matrix reflecting the dynamic relationships among the components for a certain value of the variable;
storing the array of square matrices in a memory of a computer;
transforming each square matrix to a substantially canonical form corresponding to a selected canonical form suitable for analyzing the dynamic relationships, yielding a set of canonical form matrices representing a transformation of the components;
analyzing the selected canonical form and transformed components to determine the dynamic characteristics of the data with respect to the variable; and
means for outputting the transformation of the components from the computer.
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Abstract
A canonical decomposition (CD) method that includes building a multi-variate linear autoregressive (“MLAR”) model from an original data set or from a reduced set derived by data reduction methods from the original data set. The MLAR analysis is followed by seeking a coordinate transformation of the MLAR model to obtain the best possible match with one or more canonical forms representing relationships among components. For multi-variate data with a truly hierarchical structure, CD accurately extracts the underlying sources of the system.
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Citations
15 Claims
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1. A computer-assisted method of determining dynamic characteristics of data, the data being causal and having translation-invariant statistics with respect to a variable, which method comprises the steps of:
- receiving signals representing the data, the signals originating from a set of components, the set of components having dynamic relationships with each other;
calculating a set of multi-linear autoregressive coefficients of the data, the multi-linear autoregressive coefficients yielding an array of square matrices, each square matrix reflecting the dynamic relationships among the components for a certain value of the variable;
storing the array of square matrices in a memory of a computer;
transforming each square matrix to a substantially canonical form corresponding to a selected canonical form suitable for analyzing the dynamic relationships, yielding a set of canonical form matrices representing a transformation of the components;
analyzing the selected canonical form and transformed components to determine the dynamic characteristics of the data with respect to the variable; and
means for outputting the transformation of the components from the computer. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
- receiving signals representing the data, the signals originating from a set of components, the set of components having dynamic relationships with each other;
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9. A computer-assisted method for determining an orthogonal rotation for analyzing data, the data being causal and having translation-invariant statistics with respect to a variable, the data originating from a set of components, the set of components having dynamic relationships to each other, which method comprises the steps of:
- creating a multi-variate linear autoregressive model of the data, the model describing influences of one component on another component with respect to the variable;
storing the model in a memory of a computer;
decorrelating random terms in the model so that the decorrelated random terms are orthogonalized to produce a new model with autoregression coefficients, the random terms driving channels of the components;
identifying an orthogonal rotation that preserves the influences from the creating step and the orthogonality of the random terms from the decorrelating step, and that transforms the new model with autoregression coefficients into a canonical form; and
a means for outputting the transformation of the components from the computer. - View Dependent Claims (10, 11, 12, 13, 14, 15)
- creating a multi-variate linear autoregressive model of the data, the model describing influences of one component on another component with respect to the variable;
Specification