a factor model which aimed to explore the possibility of using lower-dimensional series to represent or explain an observed higher-dimensional multiple time series. However, there were no statistics with distribution results with which to build the model. In this paper, we derive a statistical procedure to build the model for stationary and first-order non-stationary series. The main idea, conducted by the canonical correlation analysis between present series and non-present series, is an extension of the concept of the scalar component model proposed by Tiao and Tsay [Journal of the Royal Statistical Society B (1989) Vol. 51, pp. 157-213]. Finally, simulation studies and reanalysis of two real data sets are illustrated.All matrices, C Z (h), h " 0, are of rank r, the number of factors, and have the same null space. Hence, a (k À r) · k matrix, M 1 , exists such thatThis reminds us of the SCM(0,0), a special case of the SCM proposed by Tiao and Tsay (1989). In that paper, Z t is said to have (k À r) SCM(0,0) if a 812
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.