算法AS 232：MARMA(P, Q)时间序列中总体和样本相关及偏相关矩阵的计算

Algorithm AS 232: Computation of Population and Sample Correlation and Partial Correlation Matrices in MARMA(P, Q) Time Series

Journal of the Royal Statistical Society. Series C: Applied Statistics · 1988
被引 5
ABS 3

中文导读

该论文提出了一种算法，用于计算MARMA(P, Q)时间序列的总体和样本相关矩阵及偏相关矩阵，适用于统计计算领域的研究者和实践者。

Abstract

M. B. Pate, N. Davies, Algorithm AS 232: Computation of Population and Sample Correlation and Partial Correlation Matrices in MARMA(P, Q) Time Series, Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 37, No. 1 (1988), pp. 127-138

时间序列分析统计计算算法多元时间序列
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