Accession Number : AD0672023

Title :   MULTIPLE TIME SERIES MODELLING.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CALIF DEPT OF STATISTICS

Personal Author(s) : Parzen,Emanuel

Report Date : 08 JUL 1968

Pagination or Media Count : 43

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)

Descriptors :   (*TIME SERIES ANALYSIS, MULTIVARIATE ANALYSIS), STATISTICAL DISTRIBUTIONS, STATISTICAL FUNCTIONS, STATISTICAL TESTS, STOCHASTIC PROCESSES, CORRELATION TECHNIQUES, SAMPLING, MATRICES(MATHEMATICS), INTEGRAL TRANSFORMS, TRANSFER FUNCTIONS, INFORMATION THEORY

Subject Categories : Statistics and Probability
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE