A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS

Raja P. Velu; Dean W. Wichern; Gregory C. Reinsel

doi:10.1111/j.1467-9892.1987.tb00010.x

A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS

Raja P. Velu, Dean W. Wichern, Gregory C. Reinsel

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Abstract. Box and Tiao (1977) established the correspondence between non‐stationary roots and canonical correlations of an AR(1) process. In this paper, we give an alternative, more direct, proof of the correspondence and extend a special case of that result to AR(p) processes. The usefulness of these results for multiple time series modelling is also briefly discussed.

Original language	English (US)
Pages (from-to)	479-487
Number of pages	9
Journal	Journal of Time Series Analysis
Volume	8
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-9892.1987.tb00010.x
State	Published - Jul 1987
Externally published	Yes

Keywords

Multiple time series models
autoregressive processes
canonical correlations
identification
non‐stationarity

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/j.1467-9892.1987.tb00010.x

Cite this

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AU - Reinsel, Gregory C.

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AB - Abstract. Box and Tiao (1977) established the correspondence between non‐stationary roots and canonical correlations of an AR(1) process. In this paper, we give an alternative, more direct, proof of the correspondence and extend a special case of that result to AR(p) processes. The usefulness of these results for multiple time series modelling is also briefly discussed.

KW - Multiple time series models

KW - autoregressive processes

KW - canonical correlations

KW - identification

KW - non‐stationarity

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ER -

A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS

Abstract

Keywords

ASJC Scopus subject areas

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