I have multivariate timeseries data represented in matrix format.
I have matrix A of MxN where M is number of timestamp and N is number of sensor.
Time series data is sampled at very 1 hour.
Each column vector represents single timeseries data . If I do K rank approximation using SVD and I get
With K rank approximation I select first K columns of matrix U. How do I interpret this result in terminology of sensors data and timeseries.
Thanks in advance