MULTIPLE TIME SERIES MODELLING.
STANFORD UNIV CALIF DEPT OF STATISTICS
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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
- Statistics and Probability