Nonstationary dynamic factor analysis (Q2491853)

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Nonstationary dynamic factor analysis
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    Statements

    title
    Nonstationary dynamic factor analysis (English)
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    author
    Daniel Peña
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    Pilar Poncela
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    publication date
    29 May 2006
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    zbMATH Keywords
    canonical correlation
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    cointegration and common factors
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    eigenvectors and eigenvalues
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    generalized covariance matrices
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    vector time series
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    Wiener processes
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    describes a project that uses
    astsa
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    AS 154
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    Identifiers

    Mathematics Subject Classification ID
    62H25
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    62M10
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    62G10
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    zbMATH DE Number
    5028885
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