کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1148351 | 957830 | 2008 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Canonical correlation analysis for the vector AR(1) model with ARCH innovations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper extends the results of canonical correlation analysis of Anderson [2002. Canonical correlation analysis and reduced-rank regression in autoregressive models. Ann. Statist. 30, 1134-1154] to a vector AR(1) process with a vector ARCH(1) innovations. We obtain the limiting distributions of the sample matrices, the canonical correlations and the canonical vectors of the process. The extension is important because many time series in economics and finance exhibit conditional heteroscedasticity. We also use simulation to demonstrate the effects of ARCH innovations on the canonical correlation analysis in finite sample. Both the limiting distributions and simulation results show that overlooking the ARCH effects in canonical correlation analysis can easily lead to erroneous inference.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 9, 1 September 2008, Pages 2826-2836
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 9, 1 September 2008, Pages 2826-2836
نویسندگان
Ruey S. Tsay, Shiqing Ling,