The asymptotic distribution of canonical correlations and variates in cointegrated models

DOI10.1073/pnas.97.13.7068zbMath0967.62013OpenAlexW1992686713WikidataQ35152500 ScholiaQ35152500MaRDI QIDQ4488643

T. W. Anderson

Publication date: 2 September 2001

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.97.13.7068

zbMATH Keywords

multivariate time seriesautoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models ⋮ Reduced rank regression in cointegrated models.

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