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.
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页码：625 / 631
页数：7
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