Canonical correlation analysis and reduced rank regression in autoregressive models

DOI10.1214/AOS/1031689020MaRDI QIDQ1848968zbMATH OpenOpenAlexFDO

Authors T. W. Anderson

Publication date 14 November 2002

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aos/1031689020

zbMATH Keywords

asymptotic distributionsCanonical correlations and vectorseigenvalues and eigenvectors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A canonical analysis of multiple time series
• A Reduced-Rank Multivariate Regression Approach to Aquatic Joint Toxicity Experiments
• Asymptotic distribution of the reduced rank regression estimator under general conditions
• Asymptotic theory for canonical correlation analysis
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• Multivariate reduced-rank regression
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Reduced rank models for multiple time series
• Reduced rank regression. With applications to quantitative structure-activity relationships

Cited in

(25)

• A unifying framework for analysing common cyclical features in cointegrated time series
• Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
• Asymptotic theory for canonical correlation analysis
• The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
• Asymptotic distribution of the reduced rank regression estimator under general conditions
• On estimation in some reduced rank extended growth curve models
• Reduced rank regression in cointegrated models.
• Canonical correlation and reduction of multiple time series
• Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models
• Efficient estimation of reduced-rank partial envelope model in multivariate linear regression
• Specification and misspecification in reduced rank regression
• A Semiparametric Approach to Canonical Analysis
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
• Modelling comovements of economic time series: a selective survey
• Model selection criteria for reduced rank multivariate time series: a simulation study
• Reduced rank regression with autoregressive errors
• Generalized Covariance Estimator
• Reduced-Rank Envelope Vector Autoregressive Model
• Partial Envelope and Reduced-Rank Partial Envelope Vector Autoregressive Models
• Envelope Matrix Autoregressive Models
• GCov-based portmanteau test
• Reduced-rank regression: a useful determinant identity
• Canonical correlation analysis for the vector AR(1) model with ARCH innovations

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