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Canonical correlation and reduction of multiple time series

  • Time Series Analysis
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Abstract

It is shown that a degenerate rankd-variate stationary time series can be reduced to a full rank time series of lower dimension via an orthogonal transformationT provided that ρ, the canonical correlation between past and future of the time series is strictly less than one. Procedures for estimation of rank of the multiple time series,T and testing ρ=1 are outlined, the latter is related to testing the unit root hypothesis in ARMA models.

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Authors and Affiliations

  1. Division of Statistics and Statistical Consulting Laboratory, Northern Illinois University, 60115-2854, DeKalb, IL, USA

    Mohsen Pourahmadi

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  1. Mohsen Pourahmadi
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Pourahmadi, M. Canonical correlation and reduction of multiple time series. Ann Inst Stat Math 46, 625–631 (1994). https://doi.org/10.1007/BF00773471

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  • DOI: https://doi.org/10.1007/BF00773471

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