Stationary subspace analysis of nonstationary covariance processes: eigenstructure description and testing

DOI10.3150/20-BEJ1243zbMath1466.62390arXiv1904.09420MaRDI QIDQ2214252

Mohsen Pourahmadi, Vladas Pipiras, Raanju R. Sundararajan

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09420

zbMATH Keywords

eigen-decompositionlocal and global dimensionsdimension testmultivariate nonstationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05) Sequential statistical analysis (62L10)

Related Items (2)

Factor modeling of multivariate time series: a frequency components approach ⋮ Cotrending: testing for common deterministic trends in varying means model

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