Model selection criteria for reduced rank multivariate time series: a simulation study

DOI10.1080/00949655.2013.769539zbMath1453.62635OpenAlexW1985986838MaRDI QIDQ5219443

Marcin Hławka, Adam Zagdański

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.769539

zbMATH Keywords

bootstrapcross-validationmodel selection criteriamultivariate time seriescanonical analysisreduced rank model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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