Summary
With widespread technological developments, it has become commonplace to collect high-dimensional time-series data, that is, intensive repeated measurement data on many variables and subjects simultaneously during daily life. This includes sensor-based physiological measurements (e.g., heart rate, skin conductance) and health and movement data (e.g., calorie tracking, Fitbit, GPS) across people, various macro-level indicators recorded over time for different economies, as well as data from many other noisy and complex systems evolving over time across subjects. Although technological advances
