tomh.bbs@shark.cs.fau.edu (Tom Holroyd) (04/08/91)
I'm doing principle components analysis of some multi-channel timeseries. I'm using SVD (from Numerical Recipes) on the matrix whose rows represent the timeseries from each channel. In other words, if I have 5 channels and 100 points in my timeseries, I get a matrix with 5 rows and 100 columns. Actually my timeseries is much longer than this, and so I'm using windows of a few hundred points, and sliding along, doing SVD. My problem is that my components (for example the top component, the one with the largest eigenvalue) change sign arbitrarily from window to window. This is because from SVD's point of view, T T U.w.V = -U.w.-V and I can't tell why it picks positive for one window and negative for the next. Worse yet is that it may do this for one channel and not for another, i.e. channel one could flip from one window to the next and channel two might not. Is there a way to control this? Tom Holroyd Center for Complex Systems Florida Atlantic University tomh@bambi.ccs.fau.edu