The components of a vector of unit-root processes are cointegrated (cointegration) if some linear combination is stationary; is a cointegrating vector. The number of linearly independent cointegrating vectors is the cointegration rank , and is the number of common stochastic trends.
Quantitative Finance · शब्दावली
Cointegration, cointegrating vector, cointegration rank क्या है?
अन्य नाम: cointegration · cointegrating vector · cointegration rank