A canonical analysis of multiple time series

Cited In (75)

Identifying small mean-reverting portfolios
Exact maximum likelihood estimation of partially nonstationary vector ARMA models
A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
Moving dynamic principal component analysis for non-stationary multivariate time series
Twisted probabilities, uncertainty, and prices
Common nonstationary components of asset prices
Model selection criteria for reduced rank multivariate time series: a simulation study
A unified theory of the dynamics of closed-loop supply chains
Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
Panel cointegration testing in the presence of a time trend
Demand planning approaches to aggregating and forecasting interrelated demands for safety stock and backup capacity planning
Nonlinear principal components and long-run implications of multivariate diffusions
A robust procedure to build dynamic factor models with cluster structure
Geometric and long run aspects of Granger causality
Statistical inference on cointegration rank in error correction models with stationary covariates
A long-run pure variance common features model for the common volatilities of the Dow Jones
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Cointegration analysis with state space models
Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
Forecasting Multiple Time Series With One-Sided Dynamic Principal Components
Error-Correction Factor Models for High-dimensional Cointegrated Time Series
Direct cointegration testing in error correction models
Nonstationary dynamic factor analysis
Scale space multiresolution correlation analysis for time series data
System estimators of cointegrating matrix in absence of normalising information
Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
Identification of vector AR models with recursive structural errors using conditional independence graphs
Extracting a low-dimensional predictable time series
Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
DYNAMIC FACTOR MODELS
Factorizing multivariate time series operators
Robust causality test of infinite variance processes
Model reduction via the internally balanced state space representation
Testing multiple equation systems for common nonlinear components
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Measuring the Advantages of Multivariate vs. Univariate Forecasts
Clustering multivariate time series by genetic multiobjective optimization
A Semiparametric Approach to Canonical Analysis
Computation of the theoretical autocovariance function for a vector arma process
COINTEGRATION AND COMMON FACTORS
Generalized principal component analysis for moderately non-stationary vector time series
Estimation for double-nonlinear cointegration
A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
Principal component analysis for second-order stationary vector time series
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Canonical correlation for principal components of time series
On cointegration tests for VAR models with drift
Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
Canonical correlation analysis for the vector AR(1) model with ARCH innovations
PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao
Noncausal vector AR processes with application to economic time series
Identifying Cointegration by Eigenanalysis
Granger-causality in multiple time series
Dynamic factor analysis of nonstationary multivariate time series
Estimation Procedure for a Multiple Time Series Model
A dynamic factor model for the analysis of multivariate time series
Canonical correlation analysis and reduced rank regression in autoregressive models
George Box's contributions to time series analysis and forecasting
Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals
On time-irreversibility and other non-linear features in time series
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A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
Efficient computation of mean reverting portfolios using cyclical coordinate descent
Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
Reduced-Rank Envelope Vector Autoregressive Model
A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
On the reduced-rank model with leading index
Vector autoregression and envelope model
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
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A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data

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