IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v50y1994i2p294-313.html
   My bibliography  Save this article

Sample Partial Autocorrelation Function of a Multivariate Time Series

Author

Listed:
  • Degerine, S.

Abstract

The choice of a matrix square root in order to define a correlation coefficient is crucial for the notion of partial autocorrelation function (PACF) for a multivariate time series. Here this topic is revisited and, introducing a new matrix link coefficient between two random vectors, a general framework for estimating the PACF is given. This leads to new autoregressive estimation methods based on sample estimators of the partial autocorrelation coefficients. Moreover, some generalizations of the scalar Burg's technique fit in this framework making the comparison of all these methods easier.

Suggested Citation

  • Degerine, S., 1994. "Sample Partial Autocorrelation Function of a Multivariate Time Series," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 294-313, August.
    • Handle: RePEc:eee:jmvana:v:50:y:1994:i:2:p:294-313
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(84)71044-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Castro, Glaysar & Girardin, Valerie, 2002. "Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 37-52, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:50:y:1994:i:2:p:294-313. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.