Generalized principal component analysis for moderately non-stationary vector time series

DOI10.1016/J.JSPI.2020.08.007zbMATH Open1460.62143OpenAlexW3048771550MaRDI QIDQ830695FDOQ830695

Authors: Fayed Alshammri, Jiazhu Pan 

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/73541/

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zbMATH Keywords

dimension reductioneigenanalysismultivariate time seriesnon-stationary datamoving cross-correlationmoving cross-covariance

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• Factor modeling for high-dimensional time series: inference for the number of factors
• Title not available (Why is that?)
• Covariance regularization by thresholding
• Title not available (Why is that?)
• Modelling multiple time series via common factors
• Identifying a Simplifying Structure in Time Series
• A canonical analysis of multiple time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Principal component analysis for second-order stationary vector time series
• Covariance and precision matrix estimation for high-dimensional time series
• Nonstationary dynamic factor analysis
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Identifying Cointegration by Eigenanalysis
• Testing for Common Trends
• Title not available (Why is that?)

Cited In (3)

• Sparse principal component analysis for high‐dimensional stationary time series
• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
• L’analyse en composantes principales de variables non stationnaires

Uses Software

• GTSPCA
• MpermutMax

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