Accession Number:

AD0672023

Title:

MULTIPLE TIME SERIES MODELLING.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF STATISTICS

Personal Author(s):

Report Date:

1968-07-08

Pagination or Media Count:

43.0

Abstract:

The paper seeks to provide a general framework for the theory and practice of multivariate analysis of time series. It seeks to compare 1 Spectral approaches to finding relations among time series. 2 Time domain or innovations approaches to finding relations among time series. The paper also seeks to focus attention on 3 Innovations approaches to cross-spectral estimation. 4 The problem of multivariate analysis of the joint innovations covariance matrix and the sampling properties of its estimators. The various sections are entitled 2 Innovation Approaches to Modelling 3 Spectral Approaches to Modelling 4 Relations Between Time Series 5 Autoregressive Approach to a Single Series 6 Multiple Spectral Density Estimation. Author

Subject Categories:

  • Statistics and Probability
  • Cybernetics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE