Canonical partial autocorrelation function of a multivariate time series

DOI10.1214/aos/1176347635zbMath0703.62095OpenAlexW1965153685MaRDI QIDQ916293

Serge Dégerine

Publication date: 1990

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347635

zbMATH Keywords

principal componentscanonical analysisGram-Schmidt processcanonical correlationsLevinson-Durbin algorithmcanonical partial autocorrelation functionsforward and backward innovationsmatrix autocovariance functionsmultivariate stationary time series

Mathematics Subject Classification ID

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

Related Items (4)

Representation theorems in finite prediction, with applications ⋮ Szegő's theorem and its probabilistic descendants ⋮ Characterization of the partial autocorrelation function of nonstationary time series. ⋮ AR and MA representation of partial autocorrelation functions, with applications

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