| Article ID: | iaor20014250 |
| Country: | United Kingdom |
| Volume: | 19 |
| Issue: | 5 |
| Start Page Number: | 441 |
| End Page Number: | 456 |
| Publication Date: | Sep 2000 |
| Journal: | International Journal of Forecasting |
| Authors: | Toscano Ela Mercedes M., Reisen Valdrio Anselmo |
| Keywords: | ARIMA processes |
This paper is concerned with how canonical correlation can be used to identify the structure of a linear multivariate time series model. We describe briefly methods that use the canonical correlation technique and present simulation results in order to compare and evaluate the performance of these methods. The methods are also applied to a well-known multivariate time series.