ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES

DOI10.1111/J.1467-9892.1994.TB00197.XMaRDI QIDQ4299039zbMATH OpenOpenAlexFDO

Authors Efstathios Paparoditis

Publication date 29 June 1994

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00197.x

zbMATH Keywords

autoregressive moving-average processcanonical correlationsdeterminantal functions of autocovariancesduality propertygeneralized autocovariance functiongeneralized partial autocorrelationslinear dependence structuresecond-order stationary processvector generalizations of second-order functions

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A comparison of some autocovariance-based methods of arma model selection: a simulation study
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Modeling Multiple Times Series with Applications
• Time series: theory and methods
• Use of canonical analysis in time series model identification

Cited in

(5)

• Circular autocorrelation of stationary circular Markov processes
• The generalised autocovariance function
• scientific article; zbMATH DE number 4034925 (Why is no real title available?)
• Vector Cross-Correlation in Time Series and Applications
• On generalized correlation functions of intrinsically stationary processes of order k

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