Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction

DOI10.1198/016214502388618573MaRDI QIDQ4468426zbMATH OpenOpenAlexFDO

Authors Ker-Chau Li, Kerby A. Shedden

Publication date 10 June 2004

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214502388618573

zbMATH Keywords

ARMA modelsdimension reductionfunctional-magnetic resonance imagingmultivariate time seriestime series decompositionUS county-level unemployment

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(2)

• Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
• Robustness comparison of the Peña-Box model and the factor model to extract useful predictors

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