Paperback Edition
Paperback
415 pages
$30.95
Choose vendor to order paperback edition
BrownWalker Press
Amazon.com
Barnes & Noble
Harvard Book Store
Return policy
PDF Sample
eBook editions
Canonical Auto and Cross Correlations of Multivariate Time Series
by Marcia Woolf Bulach

Publisher: | Dissertation |
Pub date: | 1999 |
Pages: | 415 |
ISBN-10: | 1581120559 |
ISBN-13: | 9781581120554 |
Categories: | Mathematics Mathematics Mathematics |
Abstract
The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The multivariate series is partitioned into two overlapping or non-overlapping sets of different sizes. The left set is kept at lag 0 (without loss of generality) and the right set at a sequence of lags s=0,1,... . The model includes the possibility that the same subset of variables belong to the left set at lag 0 and to the right set at lag s. A technique for dimension reduction is suggested. We tried to elucidate identification and the internal structure of time-dependence at several pairs of lags as a tool for identification. As the technique suggested provide a method of investigation of patterns of interrelations between two multivariate sets or subsets of variables with a joint distribution, it is an efficient tool for use in multivariate series of economic data.A review of the basic models of Multivariate Time Series is given and their canonical auto and cross correlation analysis is presented. In order to study the asymptotic distribution, several Monte Carlo experiments were necessary. We attempted to provide information through simulation about the distributional and other statistical properties for the canonical statistics obtained by our procedures.
New software is provided and data experience is given. The first computer program provides us with information, graphs for the canonical auto and cross correlations, test statistics for the 'useful' canonical auto and cross correlations as well as the left and right eigenvectors, left and right intraset and interset matrices of correlations, proportions of variances extracted by the canonical variates of the left and of the right sets and left and right redundancies for lags s=0,1,... .The second program gives similar calculations for the k-variate ARMA(p,q) models when the matrices of parameters and variance-covariance matrix of the error are known. The third program provides us with the mean value, minimum and maximum values, excess kurtosis, histogram and cumulative distribution for each one of the canonical auto and cross correlations at every lag s calculated from several simulations of Monte Carlo generated k-variate ARMA(p,q) models when the matrices of parameters and variance-covariance matrix of the error are given or when they are generated.
The second part of the thesis is devoted to the generalisation of the robust and practically useful univariate Holt-Winters model. We developed formula for the Multivariate Additive Holt-Winters (Seasonal and Non-Seasonal) to the point of application and its reduction to Moving Average form. New software is produced.
The link between the two main themes consists on the canonical analysis of a Multivariate Holt-Winters from its reduced MA form and reducing its dimension as well as detecting the basic linear relationships between variables, between and within several lags.
We also attempted to investigate the effect of outliers, the removal of non-stationary trends via cubic spline fitting , differencing as well as transformations such as loge (data).
Paperback Edition
Paperback
415 pages
$30.95
Choose vendor to order paperback edition
BrownWalker Press
Amazon.com
Barnes & Noble
Harvard Book Store
Return policy
PDF Sample
eBook editions
Share this book
Relevant events
NOV
15
SFN25
Neuroscience (SfN) Annual Meeting
Description: Organized by the Society for Neuroscience, this is one of the largest and most influential neuroscience conferences.
Neuroscience 2025
Final Opportunity to Shape the Sessions and Events at #SfN25
Submit...
Neuroscience (SfN) Annual Meeting
Description: Organized by the Society for Neuroscience, this is one of the largest and most influential neuroscience conferences.
Neuroscience 2...
Neuroscience (SfN) Annual Meeting
Description: Organized by the Society for Neuroscience, this is one of th...
Neuroscience (SfN) Annual Meeting
Description: Organized by the Society for Neuros...
15 - 19 Nov 2025
San Diego, United States
MAR
19
NPSE2024
NPSE 2026 | New Perspectives in Science Education 15th Edition - International Conference
The 15th Edition of the International Conference New Perspectives in Science Education will take place:
on 18 March 2026 | Online Event
on 19-20 March 2026 | in Florence (Italy)
The event brings together educators, r...
NPSE 2026 | New Perspectives in Science Education 15th Edition - International Conference
The 15th Edition of the International Conference New Perspectives in Science Education will take place:
on 18 March 2026 | Online Event
on 19-20 ...
NPSE 2026 | New Perspectives in Science Education 15th Edition - International Conference
The 15th Edition of the International Conference New Perspectives in Scie...
NPSE 2026 | New Perspectives in Science Education 15th Edition - International Conference
The 15th Edition of the International Conference...
19 - 20 Mar 2026
Florence, Italy
OCT
22
2nd International Conference on Optics and Laser technology
Scitechseries cordially invites you for the “2nd International Conference on Optics and Laser technology” (Optics 2025) is scheduled to take place in Osaka, Japan from October 22-23, 2025.
This conference is following t...
2nd International Conference on Optics and Laser technology
Scitechseries cordially invites you for the “2nd International Conference on Optics and Laser technology” (Optics 2025) is scheduled to take place ...
2nd International Conference on Optics and Laser technology
Scitechseries cordially invites you for the “2nd International Conference...
2nd International Conference on Optics and Laser technology
Scitechseries cordially invites you for the “2nd...
22 - 23 Oct 2025
Osaka, Japan
OCT
23
9th Edition of World Congress on Infectious Disease
Be a part of the 9th Edition of the World Congress on Infectious Diseases (WCID 2025), happening from October 23-25, 2025, in the vibrant city of Orlando, Florida, USA. Under the theme "Global Strategies Against Infectious...
9th Edition of World Congress on Infectious Disease
Be a part of the 9th Edition of the World Congress on Infectious Diseases (WCID 2025), happening from October 23-25, 2025, in the vibrant city of O...
9th Edition of World Congress on Infectious Disease
Be a part of the 9th Edition of the World Congress on Infectious Diseases...
9th Edition of World Congress on Infectious Disease
Be a part of the 9th Edition of the World Congre...
23 - 25 Oct 2025
FloridA, United States
OCT
23
9th Edition of World Congress on Infectious Disease 2025
Be a part of the 9th Edition of the World Congress on Infectious Diseases (WCID 2025), happening from October 23-25, 2025, in the vibrant city of Orlando, Florida, USA. Under the theme "Global Strategies Against Infectious...
9th Edition of World Congress on Infectious Disease 2025
Be a part of the 9th Edition of the World Congress on Infectious Diseases (WCID 2025), happening from October 23-25, 2025, in the vibrant city of O...
9th Edition of World Congress on Infectious Disease 2025
Be a part of the 9th Edition of the World Congress on Infectious Diseases...
9th Edition of World Congress on Infectious Disease 2025
Be a part of the 9th Edition of the World Congre...
23 - 25 Oct 2025
FloridA, United States
DEC
5
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
December 5-7, 2025 Sanya, China
Website:https://www.academicx.org/ICSPD/2025/
Date:December 5-7, 2025
Venue:Sanya, China
Email:contact12@ac...
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
December 5-7, 2025 Sanya, China
Website:https://www.academicx.org/I...
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)...
The 9th Int'l Conference on Semiconductor Physics and Devices(ICSPD 2025)
The 9th Int'l Conference on Semiconductor Physic...
05 - 07 Dec 2025
Sanya, China, China
SEP
21
PHOTONICS2026
International Summit on Photonics, Laser Science and Optical Engineering - PhotonicsVision 2026
We are delighted to welcome you to all researchers, scientists, academicians, engineers, and professionals to attend PhotonicsVision 2026 – International Summit on Photonics, Laser Science and Optical Engineering, schedule...
International Summit on Photonics, Laser Science and Optical Engineering - PhotonicsVision 2026
We are delighted to welcome you to all researchers, scientists, academicians, engineers, and professionals to attend PhotonicsVision 2026 – Interna...
International Summit on Photonics, Laser Science and Optical Engineering - PhotonicsVision 2026
We are delighted to welcome you to all researchers, scientists, academici...
International Summit on Photonics, Laser Science and Optical Engineering - PhotonicsVision 2026
We are delighted to welcome you to all researche...
21 - 23 Sep 2026
Barcelona, Spain