Sample partial autocorrelation function of a multivariate time series

DOI10.1006/jmva.1994.1044zbMath0798.62089OpenAlexW2078392830MaRDI QIDQ1333203

Serge Dégerine

Publication date: 8 November 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1044

zbMATH Keywords

matrix square rootmultivariate time seriespartial autocorrelation functiongeneralizations of the scalar Burg techniquelinear link coefficientnew autoregressive estimation methodsnew matrix link coefficientPACFprincipal components orthogonalization processsample estimatorssample partial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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