Dynamic Orthogonal Components for Multivariate Time Series
By David S. Matteson, Ruey S. Tsay. 2011
80 citations recorded by the source corpus.
Subfields: Analytical Chemistry, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/caacbbebc87651dd0798d0d60bcc73498151d7b2
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In Analytical Chemistry
In Finance
In Statistics and Probability
Citations in the corpus
- Principal component analysis for second-order stationary vector time series (2014, methodology): “See, for example, Stewart and Sun (1990) and Pan and Yao (2008). We always assume that the weakly stationary process yt is α-mixing, i.”
- Independent Component Analysis via Distance Covariance (2013, methodology): “Some relevant properties of SO ( d ) are discussed in Matteson and Tsay (2011).”
- A Feature Fusion Based Forecasting Model for Financial Time Series (2014, methodology): “Matteson and Tsay [30] presented an ICA for multivariable time series analysis.”