Canonical partial autocorrelation function of a multivariate time series

DOI10.1214/AOS/1176347635MaRDI QIDQ916293zbMATH OpenOpenAlexFDO

Authors Serge Dégerine

Publication date 1990

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176347635

zbMATH Keywords

canonical analysiscanonical correlationscanonical partial autocorrelation functionsforward and backward innovationsGram-Schmidt processLevinson-Durbin algorithmmatrix autocovariance functionsmultivariate stationary time seriesprincipal components

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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