Measurement of Linear Dependence and Feedback between Multiple Time Series
作者:
John Geweke,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1982)
卷期:
Volume 77,
issue 378
页码: 304-313
ISSN:0162-1459
年代: 1982
DOI:10.1080/01621459.1982.10477803
出版商: Taylor & Francis Group
关键词: Multiple time scries;Feedback;Dependence;Causality
数据来源: Taylor
摘要:
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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