Identification of shared components in large ensembles of time series using dimension reduction

Journal of the American Statistical Association

Volumn 97, Issue 459, 2002, Pages 759-765

  Li, K C ^a   Shedden, K ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

ARMA model; Dimension reduction; Multivariate time series; Principal component analysis; Time series decomposition

Indexed keywords

EID: 0036744617     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214502388618573     Document Type: Article

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