Sample Partial Autocorrelation Function of a Multivariate Time Series
نویسندگان
چکیده
منابع مشابه
Characterization of the partial autocorrelation function of nonstationary time series
The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1994
ISSN: 0047-259X
DOI: 10.1006/jmva.1994.1044