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A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
Author(s) -
Velu Raja P.,
Wichern Dean W.,
Reinsel Gregory C.
Publication year - 1987
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1987.tb00010.x
Subject(s) - mathematics , series (stratigraphy) , canonical form , time series , box–jenkins , canonical correlation , autoregressive model , canonical correspondence analysis , econometrics , statistics , pure mathematics , autoregressive integrated moving average , abundance (ecology) , biology , paleontology , fishery
. 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.