Generalized canonical analysis for time series

DOI10.1016/0047-259X(73)90019-5zbMATH Open0263.62036MaRDI QIDQ2561453FDOQ2561453

Peter M. Robinson

Publication date: 1973

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cites Work

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• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Canonical Correlation and Multiple Equation Systems in Economics
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• ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
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Cited In (15)

• Reduced-rank growth curve models
• Reduced-rank regression for the multivariate linear model
• Asymptotic distributions in the projection pursuit based canonical correlation analysis
• Robust reduced-rank modeling via rank regression
• Adaptive estimation of the rank of the coefficient matrix in high-dimensional multivariate response regression models
• Reduced rank regression with autoregressive errors
• Nonstationary dynamic factor analysis
• Generalized Covariance Estimator
• Five alternative methods of estimating long-run equilibrium relationships
• Canonical correlation for principal components of time series
• Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• Seemingly unrelated reduced-rank regression model
• Optimal selection of reduced rank estimators of high-dimensional matrices
• The estimation of a multivariate linear relation

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