Multivariate Time Series plays a major part in statistics, signal processing, pattern recognition, econometrics, weather forecasting and earthquake prediction etc. It is very tedious task to select the appropriate technique to visualize the high-dimensional data in order to get insight or...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...