Canonical correlation and reduction of multiple time series Academic Article

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.

authors

• Pourahmadi, Mohsen

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 1994

publisher

• Springer Nature  Publisher

published in

• Annals of the Institute of Statistical Mathematics  Journal

keywords

• Rank Of Multiple Time Series
• Spectrum
• TRANSFORMATION

Digital Object Identifier (DOI)

• 10.1007/bf00773471

start page

• 625

end page

• 631

volume

• 46

issue

• 4

URL

• http://dx.doi.org/10.1007/bf00773471