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The use of canonical correlation analysis to identify the order of multivariate ARMA models: simulation and application

✍ Scribed by Ela Mercedes M. Toscano; Valdério Anselmo Reisen

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 168 KB
Volume: 19
Category: Article
ISSN: 0277-6693
DOI: 10.1002/1099-131x(200009)19:5<441::aid-for741>3.0.co;2-r

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✦ Synopsis

This paper is concerned with how canonical correlation can be used to identify the structure of a linear multivariate time series model. We describe brie¯y methods that use the canonical correlation technique and present simulation results in order to compare and evaluate the performance of these methods. The methods are also applied to a well-known multivariate time series.

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