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

DOI10.1111/J.1467-9892.1994.TB00197.XzbMath0794.62062OpenAlexW2046842277MaRDI QIDQ4299039

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

duality propertysecond-order stationary processcanonical correlationsautoregressive moving-average processgeneralized partial autocorrelationsdeterminantal functions of autocovariancesgeneralized autocovariance functionlinear dependence structurevector generalizations of second-order functions

Mathematics Subject Classification ID

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

Related Items (1)

Circular autocorrelation of stationary circular Markov processes

Cites Work

• Unnamed Item
• Time series: theory and methods
• Use of canonical analysis in time series model identification
• Modeling Multiple Times Series with Applications
• A comparison of some autocovariance-based methods of arma model selection: a simulation study

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