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On Canonical Analysis of Vector Time Series

In: COMPSTAT 2004 — Proceedings in Computational Statistics

Author

Listed:
  • Wanli Min

    (University of Chicago, Graduate School of Business)

  • Ruey S. Tsay

    (University of Chicago, Graduate School of Business)

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.

Suggested Citation

  • Wanli Min & Ruey S. Tsay, 2004. "On Canonical Analysis of Vector Time Series," Springer Books, in: Jaromir Antoch (ed.), COMPSTAT 2004 — Proceedings in Computational Statistics, pages 339-350, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2656-2_27
    DOI: 10.1007/978-3-7908-2656-2_27
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