[R] rank reduction method in time series analysis?

spencerg spencer.graves at prodsyse.com
Sun May 24 04:31:17 CEST 2009


Hello: 


      Have you looked at Pfaff (2008) Analysis of Integrated and 
Cointegrated Time Series with R, 2nd ed. (Springer)? 


      I have not read this book, but the title and table of contents 
sounds like it contains many alternative answers to your question, with 
the "best" among those being determined by aspects of your application 
that you did not mention.  Moreover, the author has made substantive 
contributions to R, as witnessed by the following: 


library(RSiteSearch)
Pfaff <- RSiteSearch.function("Pfaff")
summary(Pfaff) 


       This identified 105 help pages in 5 packages containing the name 
Pfaff. 


      Hope this helps. 
      Spencer   


Michael wrote:
> Hi all,
>
> Suppose I have 100 simultaneous time series, what's the best
> statistical procedure to figure out a transformation of the data, and
> see if we could squeeze most of the information into a few transformed
> time series?
>
> Thanks!
>
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