Dynamic orthogonal components for multivariate time series

Journal of the American Statistical Association

Volumn 106, Issue 496, 2011, Pages 1450-1463

  Matteson, David S ^a   Tsay, Ruey S ^b  

^a Cornell University ^*  (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Conditional heteroscedasticity; Dimension reduction; Generalized decorrelation; Independent component analysis; Principal component analysis; Vector autoregression

Indexed keywords

EID: 84855991815     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2011.tm10616     Document Type: Article

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