Estimating relations between time series
Estimating relations between time series
复制标题
估计时间序列之间的关系
DOI：
10.1029/jz068i021p06033
复制
发表时间：
1963
影响因子：
--
通讯作者：
E. Hannan
中科院分区：
文献类型：
--
作者：
B. Hamon;E. Hannan
描述了估计时间序列之间的线性回归关系的方法，并给出了它们的使用示例。所描述的三种方法是两个系列之间的简单回归，三个或更多系列的多元回归和滞后回归。在每种情况下，回归参数的计算都是基于时间序列的谱和互谱。给出了回归系数的置信限，并讨论了检验各模型有效性的方法。
Methods for estimating linear regression relations between time series are described, and examples of their use are given. The three methods described are simple regression between two series, multiple regression for three or more series, and a lagged regression. In each case calculation of the regression parameters is based on the spectrums and cross spectruma of the time series. Confidence limits are given for the regression coefficients, and methods of testing the validity of each model are discussed.