Modelling multiple time series via common factors

Biometrika

Volumn 95, Issue 2, 2008, Pages 365-379

  Pan, Jiazhu ^a   Yao, Qiwei ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Cross correlation function; Dimension reduction; Factor model; Multivariate time series; Non stationarity; Portmanteau test; White noise

Indexed keywords

EID: 44849137877     PISSN: 00063444     EISSN: 14643510     Source Type: Journal    
DOI: 10.1093/biomet/asn009     Document Type: Article

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