Algorithm AS 232: Computation of Population and Sample Correlation and Partial Correlation Matrices in MARMA(P, Q) Time Series

DOI10.2307/2347511zbMath0638.62087OpenAlexW2525671062MaRDI QIDQ3779619

Neville Davies, Mike B. Pate

Publication date: 1988

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347511

zbMATH Keywords

Fortran 77cross correlationmultivariate time seriessample correlation matricesautoregressive moving average processesMARMA(P,Q) time seriespartial correlation matricespopulation correlation matrices

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

This page was built for publication: Algorithm AS 232: Computation of Population and Sample Correlation and Partial Correlation Matrices in MARMA(P, Q) Time Series