Dynamic orthogonal components for multivariate time series
DOI10.1198/JASA.2011.TM10616zbMATH Open1323.62086OpenAlexW2051641963MaRDI QIDQ3225809FDOQ3225809
Authors: David S. Matteson, Ruey S. Tsay 
Publication date: 22 March 2012
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2011.tm10616
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dimension reductionprincipal component analysisindependent component analysisvector autoregressionconditional heteroscedasticitygeneralized decorrelation
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)
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- A distance-based test of independence between two multivariate time series
- Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information
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