CANONICAL CORRELATION AND REDUCTION OF MULTIPLE TIME-SERIES

被引：0

作者：

POURAHMADI, M ^{[1
]}

机构：

[1] NO ILLINOIS UNIV,STAT CONSULTING LAB,DE KALB,IL 60115

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1994年 / 46卷 / 04期

关键词：

RANK OF MULTIPLE TIME SERIES; TRANSFORMATION; SPECTRUM;

D O I：

10.1007/BF00773471

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 rho, 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 rho = 1 are outlined, the latter is related to testing the unit root hypothesis in ARMA models.

引用

页码：625 / 631

页数：7

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