The PCA Trick with Time-Series. PCA can be used to reject cyclic… | by John Mark Agosta | Dec, 2020

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PCA can be used to reject cyclic time-series behavior, and this works for anomaly detection.

Top: Noisy periodic signals, Bottom: Reduced anomaly signal. (All images by author).

Here’s the problem it solves.

The linear algebra of PCA.

How this works.

Let’s have a look.

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