Sample Partial Autocorrelation Function
✍
S. Degerine
📂
Article
📅
1994
🏛
Elsevier Science
🌐
English
⚖ 743 KB
The choice of a matrix square root in order to define a correlation coefficient is crucial for the notion of partial autocorrelation function (PACF) for a multivariate time series. Here this topic is revisited and, introducing a new matrix link coefficient between two random vectors, a general frame