Modelling multiple time series via common factors
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Publication:3631503
DOI10.1093/biomet/asn009zbMath1437.62574OpenAlexW2038395331MaRDI QIDQ3631503
Publication date: 10 June 2009
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/22876/
dimension reductionwhite noisemultivariate time seriesfactor modelnon-stationarityportmanteau testcross-correlation function
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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