A canonical analysis of multiple time series

George E. P. Box, George C. Tiao

Biometrika · 1977 · 379 citations · 4 references

Concepts

TL;DR

Canonical transformations order components by predictability, with the least predictable resembling white noise indicating stable contemporaneous relationships and the most predictable resembling nonstationary growth. This paper proposes a canonical transformation of a k‑dimensional stationary autoregressive process. The authors illustrate the method using a five‑variable series.

Abstract

This paper proposes a canonical transformation of a k-dimensional stationary autoregressive process. The components of the transformed process are ordered from least to most predictable. The least predictable components are often nearly white noise which can reflect stable contemporaneous relationships among the original variables. The most predictable can be nearly nonstationary representing the dynamic growth characteristic of the series. The method is illustrated with a series with five variables.

References

4