scientific article; zbMATH DE number 2060192

MaRDI QIDQ4458422zbMATH OpenFDO

Authors Sung K. Ahn

Publication date 17 March 2004

zbMATH Keywords

cointegrationBrownian motionmixed frequencycanonical correlationnormalizationerror correction modelseasonal cointegrationreduced rank estimationpartial nonstationaritynested reduced rankscalar component

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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• Reduced rank models for multiple time series
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• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Elements of multivariate time series analysis

Cited in

(1)

• Multivariate stochastic regression in time series modeling

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