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Measurement of Linear Dependence and Feedback between Multiple Time Series

Measurement of Linear Dependence and Feedback between Multiple Time Series Abstract Measures of linear dependence and feedback for multiple time series are defined. The measure of linear dependence is the sum of the measure of linear feedback from the first series to the second, linear feedback from the second to the first, and instantaneous linear feedback. The measures are nonnegative, and zero only when feedback (causality) of the relevant type is absent. The measures of linear feedback from one series to another can be additively decomposed by frequency. A readily usable theory of inference for all of these measures and their decompositions is described; the computations involved are modest. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the American Statistical Association Taylor & Francis

Measurement of Linear Dependence and Feedback between Multiple Time Series

Journal of the American Statistical Association , Volume 77 (378): 10 – Jun 1, 1982

Measurement of Linear Dependence and Feedback between Multiple Time Series

Journal of the American Statistical Association , Volume 77 (378): 10 – Jun 1, 1982

Abstract

Abstract Measures of linear dependence and feedback for multiple time series are defined. The measure of linear dependence is the sum of the measure of linear feedback from the first series to the second, linear feedback from the second to the first, and instantaneous linear feedback. The measures are nonnegative, and zero only when feedback (causality) of the relevant type is absent. The measures of linear feedback from one series to another can be additively decomposed by frequency. A readily usable theory of inference for all of these measures and their decompositions is described; the computations involved are modest.

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References (12)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1537-274X
eISSN
0162-1459
DOI
10.1080/01621459.1982.10477803
Publisher site
See Article on Publisher Site

Abstract

Abstract Measures of linear dependence and feedback for multiple time series are defined. The measure of linear dependence is the sum of the measure of linear feedback from the first series to the second, linear feedback from the second to the first, and instantaneous linear feedback. The measures are nonnegative, and zero only when feedback (causality) of the relevant type is absent. The measures of linear feedback from one series to another can be additively decomposed by frequency. A readily usable theory of inference for all of these measures and their decompositions is described; the computations involved are modest.

Journal

Journal of the American Statistical AssociationTaylor & Francis

Published: Jun 1, 1982

Keywords: Multiple time scries; Feedback; Dependence; Causality

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