A canonical analysis of multiple time series
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Publication:4136382
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(75)- A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
- Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
- Reduced-Rank Envelope Vector Autoregressive Model
- On the reduced-rank model with leading index
- Efficient computation of mean reverting portfolios using cyclical coordinate descent
- ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- On time-irreversibility and other non-linear features in time series
- scientific article; zbMATH DE number 3837224 (Why is no real title available?)
- Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
- George Box's contributions to time series analysis and forecasting
- Vector autoregression and envelope model
- A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
- A structural-factor approach to modeling high-dimensional time series and space-time data
- Clive W. J. Granger and cointegration
- Canonical correlation analysis for the vector AR(1) model with ARCH innovations
- Cointegration analysis with state space models
- Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
- 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
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
- Robust causality test of infinite variance processes
- Model reduction via the internally balanced state space representation
- DYNAMIC FACTOR MODELS
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- Identification of vector AR models with recursive structural errors using conditional independence graphs
- Nonlinear principal components and long-run implications of multivariate diffusions
- Twisted probabilities, uncertainty, and prices
- A unified theory of the dynamics of closed-loop supply chains
- Measuring the Advantages of Multivariate vs. Univariate Forecasts
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- COINTEGRATION AND COMMON FACTORS
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Canonical correlation for principal components of time series
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Dynamic factor analysis of nonstationary multivariate time series
- Direct cointegration testing in error correction models
- A Semiparametric Approach to Canonical Analysis
- Identifying small mean-reverting portfolios
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
- Generalized principal component analysis for moderately non-stationary vector time series
- A dynamic factor model for the analysis of multivariate time series
- Forecasting multiple time series with one-sided dynamic principal components
- Principal component analysis for second-order stationary vector time series
- Panel cointegration testing in the presence of a time trend
- Model selection criteria for reduced rank multivariate time series: a simulation study
- Nonstationary dynamic factor analysis
- PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
- scientific article; zbMATH DE number 1208131 (Why is no real title available?)
- Demand planning approaches to aggregating and forecasting interrelated demands for safety stock and backup capacity planning
- Testing multiple equation systems for common nonlinear components
- System estimators of cointegrating matrix in absence of normalising information
- Computation of the theoretical autocovariance function for a vector arma process
- Identifying cointegration by eigenanalysis
- A robust procedure to build dynamic factor models with cluster structure
- Factorizing multivariate time series operators
- Scale space multiresolution correlation analysis for time series data
- On cointegration tests for VAR models with drift
- Common nonstationary components of asset prices
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- Estimation for double-nonlinear cointegration
- Geometric and long run aspects of Granger causality
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- Canonical correlation analysis and reduced rank regression in autoregressive models
- Estimation procedure for a multiple time series model
- scientific article; zbMATH DE number 7306867 (Why is no real title available?)
- Extracting a low-dimensional predictable time series
- Error-correction factor models for high-dimensional cointegrated time series
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- Clustering multivariate time series by genetic multiobjective optimization
- Granger-causality in multiple time series
- EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
- Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
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