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Driving innovations in manufacturing: Open Access research from DMEM

Strathprints makes available Open Access scholarly outputs by Strathclyde's Department of Design, Manufacture & Engineering Management (DMEM).

Centred on the vision of 'Delivering Total Engineering', DMEM is a centre for excellence in the processes, systems and technologies needed to support and enable engineering from concept to remanufacture. From user-centred design to sustainable design, from manufacturing operations to remanufacturing, from advanced materials research to systems engineering.

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Modelling multiple time series via common factors

Pan, Jiazhu and Yao, Qiwei (2008) Modelling multiple time series via common factors. Biometrika, 95 (2). pp. 365-379. ISSN 1464-3510

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Abstract

We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable (nonstationary) factors are identified via expanding the white noise space step by step; therefore solving a high-dimensional optimization problem by several low-dimensional subproblems. Asymptotic properties of the estimation were investigated. The proposed methodology was illustrated with both simulated and real data sets.