... Modeling. covariance. matrices. via. partial. autocorrelations. “We study the role of partial autocorrelations in the reparameteriza- tion and parsimonious modeling of a covariance matrix. The work is motivated by and tries to mimic the ...
... modeling of several covariance matrices and some results on the propriety of the posterior for linear regression ... via partial autocorrelations. Journal of Multivariate Analysis 100, 2352–2363. Daniels, M. J. and R. E. Kass (1999) ...
... covariance matrices and dynamic models for longitudinal data. Biometrika, 89(3):553–566. Daniels, M. and Pourahmadi, M. (2009). Modeling covariance matrices via partial autocorrelations. Journal of Multivariate Analysis, 100(10):2352 ...
... matrices in hierarchical models . J Am Stat Assoc , 94 , 1254–1263 . Daniels M , Pourahmadi M. ( 2002 ) . Dynamic ... Partial autocorrelation function of a nonstationary time series . J Multivariate Anal , 89 , 135-147 . Dempster A ...
... partial autocorrelation up to lag 3 . Before we start accounting for autocorrelation in a linear model we again think about the process that generated our data ... covariance matrix so that Assessing Model Assumptions Chapter 6 83.
This book has been authored by leading experts in spatial statistics, including the main developers of the INLA and SPDE methodologies and the R-INLA package.
... Covariance Matrices 6.5 Partial Autocorrelations . 181 185 • 189 6.6 Application to Model Identification . 6.7 Overview • 6.8 Exercises 193 196 197 7.3 7 The Spectral Representation [ * ] 7.1 The Herglotz Theorem 7.2 The Discrete ...
... Modeling a time series involves comparing the sample covariance matrix to a theoretical one specified by a particular model. Correlations are easier to interpret than are covariances, so a plot of the autocorrelations is frequently used ...
... modelling and then the resulting model used to determine 31 one - step ahead forecasts . In order to compare the forecasts from the two models , the covariance matrices of the one - step - ahead forecast errors ( obtained using the hold - ...
... partial autocorrelation function of differenced se- ries when Go2IN . autocorrelation and partial autocorrelation ... covariance matrix of the residuals from the nine ARMA models and comparison with the covariance matrix of the ...