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Canonical Decomposition — A Forgotten Method for Time Series Cointegration and Beyond
March 21, 2022, 5:21 p.m. | Diego Barba
Towards Data Science - Medium towardsdatascience.com
Canonical Decomposition — A Forgotten Method for Time Series Cointegration and Beyond
Decompose multiple time series into stationary and trending relationships. Full Python code from scratch.
Image by authorCointegration is one of the most important concepts when dealing with multiple non-stationary time series. For those of you who are not familiar with cointegration, in simple terms, cointegration of two or more time series means that there is a linear combination of them which is stationary.
The issue with non-stationary …
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