Canonical correlation and reduction of multiple time series

DOI10.1007/BF00773471zbMath0822.62077MaRDI QIDQ1895419

Mohsen Pourahmadi

Publication date: 18 October 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

spectrumARMA modelscanonical correlationorthogonal transformationmultiple time seriesunit root hypothesisdegenerate rank \(d\)-variate stationary time seriesestimation of rankfull rank time series of lower dimension

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Unit canonical correlations between future and past
• Distinctness of the eigenvalues of a quadratic form in a multivariate sample
• On the Bilateral Prediction Error Matrix of a Multivariate Stationary Stochastic Process
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