Use of canonical analysis in time series model identification
ARMA(p,q) modelautocovariancescanonical correlation analysisconsistency propertieseigenvalueseigenvectorsextendedidentification procedureleast squares estimatesorder specificationsample autocorrelationsecond-order moment structuresimulation studystationary or nonstationary autoregressive-moving average modelstime seriestwo-way table
Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
- Identification of echelon canonical forms for vector linear processes using least squares
- Factor-Adjusted Regularized Model Selection
- Asymptotic distribution of the reduced rank regression estimator under general conditions
- Canonical correlation and reduction of multiple time series
- Identification of refined ARMA echelon form models for multivariate time series
- A comparison of some of pattern identification methods for order determination of mixed ARMA models
- Rank-based partial aurocorrelations are not asymptotically distribution-free
- The optimal rate of canonical correlation analysis for stochastic processes
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Canonical correlation for principal components of time series
- IDENTIFYING MULTIVARIATE TIME SERIES MODELS
- scientific article; zbMATH DE number 4178488 (Why is no real title available?)
- ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
- A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION
- ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- scientific article; zbMATH DE number 4135256 (Why is no real title available?)
- Identification of seasonal arima models using a filtering method
- scientific article; zbMATH DE number 4054888 (Why is no real title available?)
- A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
- Automatic model identification using vector sample autocorrelation function
- scientific article; zbMATH DE number 4074275 (Why is no real title available?)
- MARGINALS OF MULTIVARIATE FIRST-ORDER AUTOREGRESSIVE TIME SERIES MODELS
- scientific article; zbMATH DE number 51833 (Why is no real title available?)
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
- On the identification of ARMA echelon-form models
- ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES
- scientific article; zbMATH DE number 1036038 (Why is no real title available?)
- COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES
- A comparison of some autocovariance-based methods of arma model selection: a simulation study
- Mutual information model selection algorithm for time series
- scientific article; zbMATH DE number 7578281 (Why is no real title available?)
- On canonical analysis of vector time series
- Model identification of ARIMA family using genetic algorithms
- Data mining on time series: an illustration using fast-food restaurant franchise data.
- Vector moving average models: a review
- Hybridization of intelligent techniques and ARIMA models for time series prediction
- Estimation of parameters in ARUMA models
- Canonical correlation analysis for the vector AR(1) model with ARCH innovations
- Canonical correlation for stochastic processes
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