Component extraction analysis of multivariate time series

DOI10.1016/0167-9473(95)00031-3zbMath0900.62465OpenAlexW2094287030MaRDI QIDQ1351538

Ibrahim Akman, Jan G. De Gooijer

Publication date: 27 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(95)00031-3

zbMATH Keywords

Multivariate time seriesComponents extractionNonstationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Estimation Procedure for a Multiple Time Series Model

Uses Software

• R
• S-PLUS

Cites Work

• ARMA model identification
• Forecasting aggregates of independent ARIMA processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
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