Sample partial autocorrelation function of a multivariate time series
type: Item
instance of: scholarly article
title: Sample partial autocorrelation function of a multivariate time series
zbMATH Open document ID: 0798.62089
author: Serge Dégerine
published in: Journal of Multivariate Analysis
publication date: 1994-11-08T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H20
zbMATH DE Number: 638495
zbMATH Keywords: principal components orthogonalization process
zbMATH Keywords: linear link coefficient
zbMATH Keywords: sample partial correlation
zbMATH Keywords: matrix square root
zbMATH Keywords: partial autocorrelation function
zbMATH Keywords: multivariate time series
zbMATH Keywords: new matrix link coefficient
zbMATH Keywords: PACF
zbMATH Keywords: new autoregressive estimation methods
zbMATH Keywords: sample estimators
zbMATH Keywords: generalizations of the scalar Burg technique
MaRDI profile type: Publication
full work available at URL: jmva.1994.1044
OpenAlex ID: W2078392830
DOI: 10.1006/JMVA.1994.1044
description: scientific article; zbMATH DE number 638495