Partial Directed Coherence Asymptotics for VAR Processes of Infinite Order

  • Daniel Y Takahashia
  • Published 2008

Abstract

Currently available asymptotic confidence interval/null hypothesis threshold results for partial directed coherence (PDC) are strictly valid for vector autoregressive (VAR) processes of finite order p. The present paper discusses the extension to more general situations when VAR(p) are used as approximations to more general VAR processes of infinite order… (More)

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