Generalized canonical analysis for time series

DOI10.1016/0047-259X(73)90019-5zbMath0263.62036MaRDI QIDQ2561453

Peter M. Robinson

Publication date: 1973

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (15)

Reduced-rank growth curve models ⋮ Robust reduced-rank modeling via rank regression ⋮ Canonical correlation for principal components of time series ⋮ Generalized Covariance Estimator ⋮ Seemingly unrelated reduced-rank regression model ⋮ Asymptotic distributions in the projection pursuit based canonical correlation analysis ⋮ Optimal selection of reduced rank estimators of high-dimensional matrices ⋮ Nonstationary dynamic factor analysis ⋮ Reduced-rank regression for the multivariate linear model ⋮ Reduced rank regression with autoregressive errors ⋮ The estimation of a multivariate linear relation ⋮ Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models ⋮ Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model ⋮ Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series ⋮ Five alternative methods of estimating long-run equilibrium relationships

Cites Work

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• On the General Canonical Correlation Distribution
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Canonical Correlation and Multiple Equation Systems in Economics
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Non-linear time series regression
• Non-linear regression for multiple time-series
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• RELATIONS BETWEEN TWO SETS OF VARIATES
• ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
• The General Canonical Correlation Distribution
• On the Limiting Distribution of Roots of a Determinantal Equation

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