Universal Cointegration and Its Applications.
iScience
; 19: 986-995, 2019 Sep 27.
Article
in En
| MEDLINE
| ID: mdl-31522121
Cointegration focuses on whether the long-term linear relationship between two or more time series is stationary even if this linear relationship does not exist or is not strong for the short term. Identifying the potential cointegration is important for economics, ecology, meteorology, neuroscience, and much more. Classic methods only considered or restricted in cointegration where the order of integration of all time series is 1. We introduce a method based on searching the vector to minimize the absolute correlation of convergent cross-mapping that can explore the universal cointegration and its extent. The proposed method can be applied to time series whose order of integration is not 1, cases that are not covered by classic cointegration. The proposed method is first illustrated and validated through time series generated by mathematical models in which the underlying relationships are known and then applied to three real-world examples.
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01-internacional
Database:
MEDLINE
Language:
En
Journal:
IScience
Year:
2019
Document type:
Article
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