MULTIPLE TIME SERIES MODELLING.

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)

Document Details

Document Type
Technical Report
Publication Date
Jul 08, 1968
Accession Number
AD0672023

Entities

People

  • Emanuel Parzen

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Covariance
  • Data Science
  • Estimators
  • Information Science
  • Interdisciplinary Science
  • Mathematics
  • Multivariate Analysis
  • Sampling
  • Statistical Algorithms
  • Statistical Analysis
  • Time Domain

Readers

  • Approximation Theory.
  • Systems Analysis and Design
  • Theoretical Analysis.