Canonical correlation and reduction of multiple time series
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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.
Annals of the Institute of Statistical Mathematics
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