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MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE

✍ Scribed by Lei Li; Zhongjie Xie


Book ID
111039816
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
616 KB
Volume
17
Category
Article
ISSN
0143-9782

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## Abstract In time series analysis, a vector **Y** is often called causal for another vector **X** if the former helps to improve the __k__‐step‐ahead forecast of the latter. If this holds for __k__=1, vector **Y** is commonly called Granger‐causal for **X**. It has been shown in several studies t