publication . Article . Other literature type . 1982

Measurement of Linear Dependence and Feedback Between Multiple Time Series

Geweke, John;
  • Published: 01 Jun 1982 Journal: Journal of the American Statistical Association, volume 77, page 304 (issn: 0162-1459, Copyright policy)
  • Publisher: JSTOR
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.
free text keywords: Statistics, Probability and Uncertainty, Statistics and Probability, Applied mathematics, USable, Causality, Inference, Econometrics, Computation, Control theory, Mathematics, Convergent cross mapping
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