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The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The multivariate series is partitioned into two overlapping or non-overlapping sets of different sizes. The left set is kept at lag 0 (without loss of generality) and the right set at a sequence of lags s=0,1,... . The model includes the possibility that the same subset of variables belong to the left set at lag 0 and to the right set at lag s. A technique for dimension reduction is suggested. The author elucidates identification and the internal structure of time-dependence at several pairs of lags as a tool for identification. As the technique suggested provide a method of investigation of patterns of interrelations between two multivariate sets or subsets of variables with a joint distribution, it is an efficient tool for use in multivariate series of economic data.
A review of the basic models of Multivariate Time Series is given and their canonical auto and cross correlation analysis is presented. In order to study the asymptotic distribution, several Monte Carlo experiments were necessary. The main attempt is to provide information through simulation about the distributional and other statistical properties for the canonical statistics obtained by our procedures.
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Subjects
Multivariate analysis, Time series analysis, CorrelationShowing 1 featured edition. View all 1 editions?
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Canonical Auto And Cross Correlations Of Multivariate Time Series
April 15, 1999, Dissertation.com
Paperback
in English
1581120559 9781581120554
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A thesis submitted for the Degree of Doctor of Philosophy of the University of London, 1997.
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Feedback?November 9, 2019 | Edited by Kaustubh Chakraborty | Added new cover |
November 9, 2019 | Edited by Kaustubh Chakraborty | Added new book |
November 9, 2019 | Created by Kaustubh Chakraborty | Added new book. |