Canonical correlation analysis for the vector AR(1) model with ARCH innovations

DOI10.1016/j.jspi.2008.03.022zbMath1141.62047MaRDI QIDQ928916

Ruey S. Tsay, Shiqing Ling

Publication date: 11 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.03.022

zbMATH Keywords

eigenvalues and eigenvectors; conditional heteroscedasticity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

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