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Notes on Estimation of Cross Correlation Function between two Time Series
https://doi.org/10.34360/00011107
https://doi.org/10.34360/00011107b94935b4-6e1d-4c1e-bca3-cce5f38556f0
名前 / ファイル | ライセンス | アクション |
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3093_0027_06.pdf (2.5 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2020-08-27 | |||||
タイトル | ||||||
タイトル | Notes on Estimation of Cross Correlation Function between two Time Series | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | cross correlation analysis, prewhitening, SARIMA model, monthly temperature, monthly CO2 levels | |||||
資源タイプ | ||||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.34360/00011107 | |||||
ID登録タイプ | JaLC | |||||
作成者 |
Tanaka, Minoru
× Tanaka, Minoru |
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内容記述 | ||||||
内容記述 | The purpose of this paper is discussing the estimation of cross correlation function between two time series, for instance, the monthly mean temperature deviations and monthly average CO2 levels. In order to tell if a cross correlation estimate is significantly different from zero, it should note that at least one of the series must be white noise. The method of prewhitening a time series must be very important for the cross correlation analysis. We consider the prewhitening method and discuss if there were truly a lead-lag-relationship between the real series. | |||||
公開者 | ||||||
出版者 | The Institute of Information Science Senshu University | |||||
ISSN | ||||||
収録物識別子 | 1349-1938 | |||||
書誌情報 |
en : Information Science and Applied Mathematics 巻 27, p. 21-30, 発行日 2019 |
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出版タイプ | ||||||
出版タイプ | NA |