Canonical partial autocorrelation function of a multivariate time series (Q916293)
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scientific article; zbMATH DE number 4153752
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| English | Canonical partial autocorrelation function of a multivariate time series |
scientific article; zbMATH DE number 4153752 |
Statements
Canonical partial autocorrelation function of a multivariate time series (English)
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1990
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canonical correlations
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Levinson-Durbin algorithm
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Gram-Schmidt process
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principal components
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multivariate stationary time series
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canonical analysis
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forward and backward innovations
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matrix autocovariance functions
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canonical partial autocorrelation functions
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0.8131792545318604
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0.7734002470970154
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0.7577168941497803
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