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Partial group delay and time-lagged relationships among multiple time series |
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| Authors: | Nien Fan Zhang Robert V Foutz |
| Institution: | 1. Department of Statistics , Southern Methodist University , Dallas, Texas, 75275;2. Department of Statistics , Virginia Polytechnic Institute and state University , Blacksburg, Virginia, 24061 |
| Abstract: | Relationships among the components of a multiple time series are shown to simplify in the frequency domain to elementary, linear time-lagged relationships. The result provides a time-lag interpretation for the partial group delay between two components of a multiple time series. |
| Keywords: | Partial group delay partial conherence partial phase multiple time series time-lagged relation-ships |