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Multivariate analysis in vector time series

Listed author(s):
  • Peña, Daniel
  • Galeano, Pedro

This paper reviews the applications of classical multivariate techniques for discrimination, clustering and dimension reduction for time series data. It is shown that the discrimination problem can be seen as a model selection problem. Some of the results obtained in the time domain are reviewed. Clustering time series requires the definition of an adequate metric between univariate time series and several possible metrics are analyzed. Dimension reduction has been a very active line of research in the time series literature and the dynamic principal components or canonical analysis of Box and Tiao (1977) and the factor model as developed by Peña and Box (1987) and Peña and Poncela (1998) are analyzed. The relation between the nonstationary factor model and the cointegration literature is also reviewed.

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Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws012415.

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Date of creation: Mar 2001
Handle: RePEc:cte:wsrepe:ws012415
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  1. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer;The Psychometric Society, vol. 57(3), pages 333-349, September.
  2. Peter Molenaar, 1985. "A dynamic factor model for the analysis of multivariate time series," Psychometrika, Springer;The Psychometric Society, vol. 50(2), pages 181-202, June.
  3. Chaudhuri, G., 1992. "Linear discriminant function for complex normal time series," Statistics & Probability Letters, Elsevier, vol. 15(4), pages 277-279, November.
  4. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
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