Linear Relations in Time Series Models. I.

Villegas, C.

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ERIC Number: EJ142007

Record Type: Journal

Publication Date: 1976

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Linear Relations in Time Series Models. I.

Villegas, C.

Journal of Multivariate Analysis, 6, 1, 31-45, Mar 76

A multiple time series is defined as the sum of an autoregressive process on a line and independent Gaussian white noise or a hyperplane that goes through the origin and intersects the line at a single point. This process is a multiple autoregressive time series in which the regression matrices satisfy suitable conditions. For a related article see TM 502 290. (Author/RC)

Descriptors: Mathematical Models, Matrices, Maximum Likelihood Statistics, Orthogonal Rotation, Prediction, Statistical Analysis, Time, Transformations (Mathematics)

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