Principle component analysis of multivariate time series

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John Wiley & Sons, Ltd

Reference14 articles.

1. Ait-Sahalia , Y. Xiu , D. 2018 Principal component analysis of high frequency data Journal of American Statistical Association 11 14 https://doi.org/10.1080/01621459.2017.1401542

2. Asymptotic theory for principal components analysis;Anderson;Annals of Mathematical Statistics,1963

3. A seasonal-trend decomposition procedure based on loess (with discussion);Cleveland;Journal of Official Statistics,1990

4. A note on testing for seasonal cointegration using principal components in the frequency domain;Cubadda;Journal of Time Series Analysis,1995

5. Extracting and analyzing the warming trend in global and hemispheric temperatures;Estrada;Journal of Time Series Analysis,2017

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