Dynamic orthogonal components for multivariate time series

DOI10.1198/JASA.2011.TM10616MaRDI QIDQ3225809zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dimension reductionprincipal component analysisindependent component analysisvector autoregressionconditional heteroscedasticitygeneralized decorrelation

Mathematics Subject Classification ID

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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Cited in

(24)

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• An Adaptive Orthogonal SSA Decomposition Algorithm for a Time Series
• Principal component analysis using frequency components of multivariate time series
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• Factor modeling of multivariate time series: a frequency components approach
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• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
• Detecting and modeling changes in a time series of proportions
• Extracting conditionally heteroskedastic components using independent component analysis
• Dynamic Score-Driven Independent Component Analysis
• Conditional mean dimension reduction for tensor time series
• Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
• New independent component analysis tools for time series
• scientific article; zbMATH DE number 7306867 (Why is no real title available?)
• Using multiple time series analysis for geosensor data forecasting
• Separation of uncorrelated stationary time series using autocovariance matrices
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
• Principal component analysis for second-order stationary vector time series
• Modeling temporally uncorrelated components of complex-valued stationary processes
• Principal component analysis with autocorrelated data
• Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
• Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models
• A distance-based test of independence between two multivariate time series

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