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I have a daily set of observations (Jacard similarity matrix) that I want to embed in a much lower dimensional space.

Thus I run PCA or SVD for each day and plot the projection on the top 2 dimensions (they usually explain ~90% of variance, but this is beyond the point).

My problem is that when I animate the embedding, I see that it flips along the 2nd coordinate every now and then, i.e., the embedding is not time-continuous.

I wonder what can be done to ensure time-continuity.

E.g., using a "running average" of, say, 3 days of data might improve continuity, but is unlikely to ensure it.

sds
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    See the discussion in: Keane, Kevin R., and Jason J. Corso. "Maintaining prior distributions across evolving eigenspaces: An application to portfolio construction." 2012 11th International Conference on Machine Learning and Applications. Vol. 2. IEEE, 2012.

    https://www.researchgate.net/profile/Jason-Corso/publication/235916864_Maintaining_Prior_Distributions_across_Evolving_Eigenspaces_An_Application_to_Portfolio_Construction/links/0deec518bbb414a15b000000/Maintaining-Prior-Distributions-across-Evolving-Eigenspaces-An-Application-to-Portfolio-Construction.pdf

    – krkeane Dec 13 '22 at 17:00

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