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Quantitative Finance · शब्दावली

Cointegration, cointegrating vector, cointegration rank क्या है?

अन्य नाम: cointegration · cointegrating vector · cointegration rank

Definition 20.5 Quantitative Methods · अध्याय 20 — Multivariate Series and Cointegration

The components of a vector of unit-root processes are cointegrated (cointegration) if some linear combination β⊤Yt\beta^\top Y_t is stationary; β\beta is a cointegrating vector. The number of linearly independent cointegrating vectors is the cointegration rank rr, and k−rk - r is the number of common stochastic trends.

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