Likelihood Function and Canonical Correlation Analysis of the Pena-Box Model

作者：Hu Yu Pin^*

来源：Communications in Statistics - Theory and Methods, 2011, 40(8): 1453-1467.

DOI：10.1080/03610921003615831

• Canonical correlation analysis
• Conditional heteroscedasticity
• Dynamic factor
• Multiple time series
• Vector autoregressive model

The Pena-Box model is a type of dynamic factor model whose factors try to capture the time-effect movements of a multiple time series. The Pena-Box model can be expressed as a vector autoregressive (VAR) model with constraints. This article derives the maximum likelihood estimates and the likelihood ratio test of the VAR model for Gaussian processes. Then a test statistic constructed by canonical correlation coefficients is presented and adjusted for conditional heteroscedasticity. Simulations confirm the validity of adjustments for conditional heteroscedasticity, and show that the proposed statistics perform better than the statistics used in the existing literature.

• 出版日期2011