The conditional distance autocovariance function

Zhang, Q; Pan, WL; Li, CW; Wang, XQ

Wang, XQ (corresponding author), Univ Sci & Technol China, Sch Management, Int Inst Finance, Dept Stat & Finance, Hefei, Peoples R China.

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, ; ():

Abstract

The partial autocorrelation function (PACF) is often used in time series analysis to identify the extent of the lag in an autoregressive model. Howeve......

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