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

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

Research output: Contribution to journalArticle

2 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 languageEnglish (US)
Pages (from-to)479-487
Number of pages9
JournalJournal of Time Series Analysis
Volume8
Issue number4
DOIs
StatePublished - 1987
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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