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Richard Hardy
Richard Hardy
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Decorrelating ToTwo Time Series

Suppose that I have two time series $\{x_1, \ldots,x_t\}$ and $\{y_{1+k}, \ldots,y_t\}$ which have some level of correlation on theover an overlapping time period. What techniques can I use to decorrelate these two time series? Perhaps Multivariatemultivariate AR models or something of the like?

Decorrelating To Time Series

Suppose that I have two time series $\{x_1, \ldots,x_t\}$ and $\{y_{1+k}, \ldots,y_t\}$ which have some level of correlation on the overlapping time period. What techniques can I use to decorrelate these two time series? Perhaps Multivariate AR models or something of the like?

Decorrelating Two Time Series

Suppose that I have two time series $\{x_1, \ldots,x_t\}$ and $\{y_{1+k}, \ldots,y_t\}$ which have some level of correlation over an overlapping time period. What techniques can I use to decorrelate these two time series? Perhaps multivariate AR models or something of the like?

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Wintermute
Wintermute
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Decorrelating To Time Series

Suppose that I have two time series $\{x_1, \ldots,x_t\}$ and $\{y_{1+k}, \ldots,y_t\}$ which have some level of correlation on the overlapping time period. What techniques can I use to decorrelate these two time series? Perhaps Multivariate AR models or something of the like?