A canonical analysis of multiple time series

Cited in

(79)

Nonlinear principal components and long-run implications of multivariate diffusions
A dynamic factor model for the analysis of multivariate time series
Common nonstationary components of asset prices
Factorizing multivariate time series operators
Granger-causality in multiple time series
Dynamic factor analysis of nonstationary multivariate time series
System estimators of cointegrating matrix in absence of normalising information
Statistical inference on cointegration rank in error correction models with stationary covariates
Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
Direct cointegration testing in error correction models
On cointegration tests for VAR models with drift
Testing multiple equation systems for common nonlinear components
Panel cointegration testing in the presence of a time trend
Cointegration analysis with state space models
Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
A unified theory of the dynamics of closed-loop supply chains
Canonical correlation analysis and reduced rank regression in autoregressive models
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Extracting a low-dimensional predictable time series
Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao
A robust procedure to build dynamic factor models with cluster structure
Twisted probabilities, uncertainty, and prices
Estimation for double-nonlinear cointegration
Robust causality test of infinite variance processes
Noncausal vector AR processes with application to economic time series
Scale space multiresolution correlation analysis for time series data
Canonical correlation for principal components of time series
Nonstationary dynamic factor analysis
Geometric and long run aspects of Granger causality
Moving dynamic principal component analysis for non-stationary multivariate time series
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
Estimation procedure for a multiple time series model
A long-run pure variance common features model for the common volatilities of the Dow Jones
Clive W. J. Granger and cointegration
scientific article; zbMATH DE number 3837224 (Why is no real title available?)
Identifying small mean-reverting portfolios
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
Model reduction via the internally balanced state space representation
PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
Measuring the Advantages of Multivariate vs. Univariate Forecasts
A Semiparametric Approach to Canonical Analysis
A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
Computation of the theoretical autocovariance function for a vector arma process
scientific article; zbMATH DE number 1208131 (Why is no real title available?)
COINTEGRATION AND COMMON FACTORS
DYNAMIC FACTOR MODELS
On time-irreversibility and other non-linear features in time series
Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
Clustering multivariate time series by genetic multiobjective optimization
Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
Efficient computation of mean reverting portfolios using cyclical coordinate descent
Error-correction factor models for high-dimensional cointegrated time series
High dimensional forecasting via interpretable vector autoregression
On the reduced-rank model with leading index
Forecasting multiple time series with one-sided dynamic principal components
Model selection criteria for reduced rank multivariate time series: a simulation study
Identifying cointegration by eigenanalysis
A structural-factor approach to modeling high-dimensional time series and space-time data
Demand planning approaches to aggregating and forecasting interrelated demands for safety stock and backup capacity planning
A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
Vector autoregression and envelope model
George Box's contributions to time series analysis and forecasting
Reduced-Rank Envelope Vector Autoregressive Model
Probabilistic reduced-dimensional vector autoregressive modeling with oblique projections
Statistical proxy based mean-reverting portfolios with sparsity and volatility constraints
Vector moving average models: a review
Title not available (Why is no real title available?)
Principal component analysis for second-order stationary vector time series
Generalized principal component analysis for moderately non-stationary vector time series
Canonical correlation analysis for the vector AR(1) model with ARCH innovations
Exact maximum likelihood estimation of partially nonstationary vector ARMA models
Identification of vector AR models with recursive structural errors using conditional independence graphs

This page was built for publication: A canonical analysis of multiple time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4136382)