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Classical statistical analysis based on a certain hypercomplex multivariate normal distribution

✍ Scribed by D. G. Kabe


Publisher
Springer
Year
1984
Tongue
English
Weight
470 KB
Volume
31
Category
Article
ISSN
0026-1335

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## Abstract In this paper, we propose a multivariate dynamic linear model (MDLM) that allows us to carry out a dynamic principal components analysis in a set of multivariate time series and to analyse the similarity in their evolution once the influence of non‐stationarity in each of them has been