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Sample Partial Autocorrelation Function

โœ Scribed by Degerine, S.


Book ID
119821170
Publisher
IEEE
Year
1993
Tongue
English
Weight
448 KB
Volume
41
Category
Article
ISSN
1053-587X

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Sample Partial Autocorrelation Function
โœ S. Degerine ๐Ÿ“‚ Article ๐Ÿ“… 1994 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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