Corpus ID: 88517938

Minimum reversion in multivariate time series

@article{Kleinow2018MinimumRI,
  title={Minimum reversion in multivariate time series},
  author={T. Kleinow and M. Vellekoop},
  journal={arXiv: Applications},
  year={2018}
}
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to describe phenomena where each member in a population which is subjected to random noise mimics the behaviour of the best performing member. We show that the proposed dynamics generate co-integrated processes.We characterize the model's asymptotic properties for the case of two populations and show a stabilizing… Expand

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References

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