Contrastive Multivariate Singular Spectrum Analysis

@article{Dirie2019ContrastiveMS,
  title={Contrastive Multivariate Singular Spectrum Analysis},
  author={Abdi-Hakin Dirie and Abubakar Abid and James Y. Zou},
  journal={2019 57th Annual Allerton Conference on Communication, Control, and Computing (Allerton)},
  year={2019},
  pages={1122-1127}
}
We introduce contrastive multivariate singular spectrum analysis, a novel unsupervised method for dimensionality reduction and signal decomposition of time series data. By utilizing an appropriate background dataset, the method transforms a target time series dataset in a way that evinces the sub-signals that are enhanced in the target dataset, as opposed to only those that account for the greatest variance. This shifts the goal from finding signals that explain the most variance to signals… 
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