Multivariate time series analysis and applications

DOI10.1002/9781119502951MaRDI QIDQ4629784zbMATHOpenAlexFDO

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)

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

Describes a project that uses

Uses Software

• R

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