Canonical correlation analysis and reduced rank regression in autoregressive models
From MaRDI portal
Publication:1848968
DOI10.1214/aos/1031689020zbMath1029.62053OpenAlexW1963799935MaRDI QIDQ1848968
Publication date: 14 November 2002
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1031689020
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items (9)
Generalized Covariance Estimator ⋮ On estimation in some reduced rank extended growth curve models ⋮ Canonical correlation analysis for the vector AR(1) model with ARCH innovations ⋮ Modelling comovements of economic time series: a selective survey ⋮ A Semiparametric Approach to Canonical Analysis ⋮ Model selection criteria for reduced rank multivariate time series: a simulation study ⋮ Efficient estimation of reduced-rank partial envelope model in multivariate linear regression ⋮ A unifying framework for analysing common cyclical features in cointegrated time series ⋮ Unnamed Item
Cites Work
- Unnamed Item
- Multivariate reduced-rank regression
- Asymptotic theory for canonical correlation analysis
- Asymptotic distribution of the reduced rank regression estimator under general conditions
- Reduced rank regression. With applications to quantitative structure-activity relationships
- Reduced rank models for multiple time series
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- A canonical analysis of multiple time series
- A Reduced-Rank Multivariate Regression Approach to Aquatic Joint Toxicity Experiments
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
This page was built for publication: Canonical correlation analysis and reduced rank regression in autoregressive models
