Dynamic orthogonal components for multivariate time series (Q3225809)
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scientific article; zbMATH DE number 6017960
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| English | Dynamic orthogonal components for multivariate time series |
scientific article; zbMATH DE number 6017960 |
Statements
Dynamic Orthogonal Components for Multivariate Time Series (English)
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22 March 2012
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conditional heteroscedasticity
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dimension reduction
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generalized decorrelation
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independent component analysis
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principal component analysis
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vector autoregression
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0.7687907218933105
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0.7579911351203918
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0.7509266138076782
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0.7490388751029968
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0.7463569045066833
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