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On Canonical Analysis of Vector Time Series

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COMPSTAT 2004 — Proceedings in Computational Statistics

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Abstract

In this paper, we establish some asymptotic results for canonical analysis of vector linear time series when the data possess conditional heteroscedasticity. We show that for correct identification of a vector time series model, it is essential to use a modification, which we prescribe, to a commonly used test statistic for testing zero canonical correlations. A real example and simulation are used to demonstrate the importance of the proposed test statistics.

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Author information

Authors and Affiliations

  1. Graduate School of Business, University of Chicago, 1101 East 58th Street, Chicgao, IL, 60637, USA

    Wanli Min & Ruey S. Tsay

Authors
  1. Wanli Min
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  2. Ruey S. Tsay
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Editor information

Editors and Affiliations

  1. Faculty of Mathematics and Physics Department of Statistics and Probability, Charles University, Sokolovská 83, 18675, Prague 8 - Karlin, Czech Republic

    Jaromir Antoch

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© 2004 Springer-Verlag Berlin Heidelberg

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Min, W., Tsay, R.S. (2004). On Canonical Analysis of Vector Time Series. In: Antoch, J. (eds) COMPSTAT 2004 — Proceedings in Computational Statistics. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2656-2_27

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  • DOI: https://doi.org/10.1007/978-3-7908-2656-2_27

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-1554-2

  • Online ISBN: 978-3-7908-2656-2

  • eBook Packages: Springer Book Archive

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