Estimation of partial correlation matrices using Cholesky decomposition

DOI10.1109/TAC.1979.1102008MaRDI QIDQ4182376zbMATH OpenFDO

Authors Bradley W. Dickinson

Publication date 1979

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1979.1102008

zbMATH Keywords

Cholesky DecompositionEstimationMultivariate ProcessPartial Correlation Matrices

Mathematics Subject Classification ID

Canonical forms, reductions, classification (15A21) Estimation and detection in stochastic control theory (93E10)

Cited in

(2)

• Characterization of the partial autocorrelation function of nonstationary time series.
• High-dimensional partial correlation coefficients: A survey study of estimation Methods

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