Measures of mutual and causal dependence between two time series (Corresp.)
โ Scribed by Rissanen, J.; Wax, M.
- Book ID
- 114636666
- Publisher
- IEEE
- Year
- 1987
- Tongue
- English
- Weight
- 730 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0018-9448
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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 nonneg
a b s t r a c t Several measurements and techniques have been developed to detect dynamic mutuality and synchronicity of time series in econometrics. This study aims to compare the performances of five methods, i.e., linear regression, dynamic correlation, Markov switching models, concordance index