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A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS |
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| Authors: | Raja P. Velu Dean W. Wichern Gregory C. Reinsel |
| Affiliation: | University of Wisconsin-Whitewater;Texas A&M University;University of Wisconsin-Madison |
| Abstract: | Abstract. Box and Tiao (1977) established the correspondence between non-stationary roots and canonical correlations of an AR(1) process. In this paper, we give an alternative, more direct, proof of the correspondence and extend a special case of that result to AR( p ) processes. The usefulness of these results for multiple time series modelling is also briefly discussed. |
| Keywords: | Multiple time series models identification autoregressive processes canonical correlations non-stationarity |