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Measurement of Linear Dependence and Feedback between Multiple Time Series

โœ Scribed by Geweke, John

Book ID
121348725
Publisher
American Statistical Association
Year
1982
Tongue
English
Weight
911 KB
Volume
77
Category
Article
ISSN
0162-1459

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โœฆ Synopsis

Measures of linear dependence and feedback for multiple time series are defined. The mea~ure of linear dependence is the sum of the measure of linear feedback from the first series to the second, linear feedback from the second to the first. and instantaneous linear feedback. The measures are nonnegative, and zero only when feedback (causality) of the relevant type is absent. The measures of linear feedback from cine series to another can be additively decomposed by frequency. A readily usable theory of inference for all of these measures and their decompositions is described: the computations involved are modest.

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