Identifying a Simplifying Structure in Time Series

DOI10.2307/2288794zbMath0623.62081MaRDI QIDQ3761507

Daniel Peña, G. E. P. Box

Publication date: 1987

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2288794

zbMATH Keywords

identification; canonical transformation; eigenvectors; multivariate time series; multiple time series; dynamic factor analysis; number of factors; hidden factors; infinite moving average representation; rank of the covariance matrices; simplifying transformation; vector autoregressive integrated moving average model

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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