On The Peña–Box Model

DOI10.1111/j.1467-9892.2004.00381.xzbMath1062.62183OpenAlexW2017620639MaRDI QIDQ4677044

Yu-Pin Hu, Rouh-Jane Chou

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00381.x

zbMATH Keywords

canonical correlation analysisfactor modelmultiple time series

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (5)

An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints ⋮ Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model ⋮ Robustness Comparison of the Peña–Box Model and the Factor Model to Extract Useful Predictors ⋮ On the reduced-rank model with leading index ⋮ Unnamed Item

Cites Work

• The effect of transformations of variables upon their correlation coefficients
• Elements of multivariate time series analysis

This page was built for publication: On The Peña–Box Model