Canonical correlation and reduction of multiple time series Academic Article uri icon

abstract

  • It is shown that a degenerate rank d-variate stationary time series can be reduced to a full rank time series of lower dimension via an orthogonal transformation T 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. 1994 The Institute of Statistical Mathematics.

published proceedings

  • Annals of the Institute of Statistical Mathematics

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 0

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1, 1994 11:11 AM