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The sample autocorrelation function of I(1) processes

โœ Scribed by U. Hassler


Book ID
112939878
Publisher
Springer-Verlag
Year
1994
Tongue
English
Weight
525 KB
Volume
35
Category
Article
ISSN
0932-5026

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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