- #1
- 604
- 13
Let's have a time series with a period=L. Suppose we arbitrarily choose the window length of the trajectory matrix to be equal to L which is also equal to the period of a time series. Then the second column of the matrix will also start with the same entry as the first column, because all columns are of length L which is also equal to the period. But if we perform SVD of the matrix, we should get a reduced rank of 1, because all columns are alike. So what is the interpretation of that case?