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

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

Journal of Time Series Analysis, 1987, vol. 8, issue 4, 479-487

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.

Date: 1987
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1987.tb00010.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:8:y:1987:i:4:p:479-487

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().