Generalized canonical analysis for time series

DOI10.1016/0047-259X(73)90019-5MaRDI QIDQ2561453zbMATH OpenFDO

Authors 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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• Asymptotic Properties of Non-Linear Least Squares Estimators
• Canonical Correlation and Multiple Equation Systems in Economics
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Non-linear regression for multiple time-series
• Non-linear time series regression
• ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
• On the General Canonical Correlation Distribution
• On the Limiting Distribution of Roots of a Determinantal Equation
• RELATIONS BETWEEN TWO SETS OF VARIATES
• The General Canonical Correlation Distribution

Cited in

(15)

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

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