Abstract

ZHANG, HANWEN. Comparison between Two Dimensionality Reduction Methods in Time Series. Rev.Colomb.Estad. [online]. 2009, vol.32, n.2, pp.189-212. ISSN 0120-1751.

Two methods of dimensionality reduction of multivariate stationary time series are analyzed: Peña-Boxs methodology in the time domain and Brillingers methodology in the frequency domain. Two failures of Peña-Boxs methodology were found, and their corrections are given. Also the two methods are compared regarding to their capacities to identify the number of latent factors by simulations and an empirical application.

Keywords : Multivariate time series; Reduction of dimensionality; Time domain; Frequency domain.

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