Canonical partial autocorrelation function of a multivariate time series
type: Item
instance of: scholarly article
title: Canonical partial autocorrelation function of a multivariate time series
zbMATH Open document ID: 0703.62095
author: Serge Dégerine
published in: The Annals of Statistics
publication date: 1990-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H20
zbMATH DE Number: 4153752
zbMATH Keywords: canonical correlations
zbMATH Keywords: Levinson-Durbin algorithm
zbMATH Keywords: Gram-Schmidt process
zbMATH Keywords: principal components
zbMATH Keywords: multivariate stationary time series
zbMATH Keywords: canonical analysis
zbMATH Keywords: forward and backward innovations
zbMATH Keywords: matrix autocovariance functions
zbMATH Keywords: canonical partial autocorrelation functions
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176347635
OpenAlex ID: W1965153685
DOI: 10.1214/AOS/1176347635
description: scientific article; zbMATH DE number 4153752