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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "1996"

AuteursI. Akman, J.G. de Gooijer
TitelComponent extraction analysis of multivariate time series
TijdschriftComputational Statistics and Data Analysis
Jaargang21
Jaar1996
Pagina's487-499
ISSN01679473
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
TrefwoordenComponents extraction; Multivariate time series; Nonstationarity
SamenvattingA method for modelling several observed parallel time series is proposed. The method involves seeking possible common underlying pure AR and MA components in the series. The common components are forced to be mutually uncorrelated so that univariate time series modelling and forecasting techniques can be applied. The proposed method is shown to be a useful addition to the time series analyst's toolkit, if common sources of variation in multivariate data need to be quickly identified.
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