Component extraction analysis of multivariate time series

DOI10.1016/0167-9473(95)00031-3MaRDI QIDQ1351538zbMATH OpenOpenAlexFDO

Authors Ibrahim Akman, Jan G. De Gooijer

Publication date 27 February 1997

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(95)00031-3

zbMATH Keywords

Multivariate time seriesComponents extractionNonstationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cites work

• scientific article; zbMATH DE number 48186 (Why is no real title available?)
• scientific article; zbMATH DE number 692302 (Why is no real title available?)
• ARMA model identification
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting aggregates of independent ARIMA processes

Cited in

(11)

• Multivariate modelling of long memory processes with common components
• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• Principal component analysis using frequency components of multivariate time series
• Dynamic orthogonal components for multivariate time series
• Four simultaneous component models for the analysis of multivariate time series from more than one subject to model intraindividual and interindividual differences
• Identifying Patterns in Multiple Time Series Data
• Estimation procedure for a multiple time series model
• Complexity pursuit: Separating interesting components from time series
• Identification of common factors in multivariate time series modeling
• Multivariate time series decomposition into oscillation components
• scientific article; zbMATH DE number 5485242 (Why is no real title available?)

Describes a project that uses

Uses Software

• S-PLUS
• R

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