Canonical correlation and reduction of multiple time series |
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Authors: | Mohsen Pourahmadi |
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Affiliation: | (1) Division of Statistics and Statistical Consulting Laboratory, Northern Illinois University, 60115-2854 DeKalb, IL, USA |
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Abstract: | It is shown that a degenerate rankd-variate stationary time series can be reduced to a full rank time series of lower dimension via an orthogonal transformationT provided that , the canonical correlation between past and future of the time series is strictly less than one. Procedures for estimation of rank of the multiple time series,T and testing =1 are outlined, the latter is related to testing the unit root hypothesis in ARMA models. |
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Keywords: | Rank of multiple time series transformation spectrum |
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