Multivariate Time Series Analysis

By G. Reinsel. 2006

86 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability, Signal Processing

View Paper: https://www.semanticscholar.org/paper/b1986431cf7a5d31fe8d3e5ed27ed40b93fcc3e1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Management Science and Operations Research

1. Rong Chen
2. Jinyuan Chang
3. Bin Guo
4. Qiwei Yao

In Statistics and Probability

1. Jinyuan Chang
2. Rong Chen
3. Bin Guo
4. Xialu Liu
5. Dong Wang
6. Qiwei Yao
7. Jianqing Fan
8. S. Ling

In Signal Processing

1. Qiwei Yao
2. Rong Chen
3. Jinyuan Chang
4. Bin Guo
5. Dong Wang
6. Xialu Liu
7. Nicolas Chopin

Citations in the corpus

• Autoregressive models for matrix-valued time series (2018, unknown): “Since MAR(1) is special case of VAR(1), we follow the definition given in Section 2.10 of Tsay (2014).”
• Factor models for matrix-valued high-dimensional time series (2016, background): “Multivariate time series and panel time series, when one observes a vector or a panel of variables through time, is also a long studied but still active field (e.g. Tiao and Box, 1981; Tiao and Tsay, 1989; Engle and Kroner, 1995; Stock and Watson, 2004; Lütkepohl, 2005; Tsay, 2014, and others).”
• Principal component analysis for second-order stationary vector time series (2014, methodology): “Different canonical structures are imposed on VARMA models [Chapter 3 of Reinsel (1993), Chapter 4 of Tsay (2014), and references within].”