Multivariate time series analysis and applications

DOI10.1002/9781119502951MaRDI QIDQ4629784zbMATH OpenOpenAlexFDO

Authors William W. S. Wei

Publication date 28 March 2019

Published in Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/9781119502951

zbMATH Keywords

dimension reductionfactor analysismultivariate time seriesPCAmultivariate GARCHspace-time series, multivariate spectral analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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Cited in

(24)

• scientific article; zbMATH DE number 51202 (Why is no real title available?)
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• A simple nearly unbiased estimator of cross-covariances
• A new non‐parametric cross‐spectrum estimator
• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
• Component extraction analysis of multivariate time series
• Time series analysis. Univariate and multivariate methods.
• Innovations in multiple time series analysis
• Extremal event graphs: a (stable) tool for analyzing noisy time series data
• Singular Value Decomposition of Dual Matrices and its Application to Traveling Wave Identification in the Brain
• scientific article; zbMATH DE number 42743 (Why is no real title available?)
• Multivariate time series with linear state space structure
• Multivariate time series analysis. With R and financial applications
• Analysis of variance for multivariate time series
• Statistical learning for big dependent data
• Reduced-Rank Envelope Vector Autoregressive Model
• Models for dependent time series
• Elements of multivariate time series analysis
• Multivariate time series analysis in climate and environmental research
• Recent development of high-dimensional time series analysis
• On a matrix-valued autoregressive model
• The linear fuzzy space: theory and applications
• Wavelet-based fuzzy clustering of interval time series
• scientific article; zbMATH DE number 3252904 (Why is no real title available?)

Describes a project that uses

Uses Software

• R

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