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On Conditional Correlation Coefficients of a Wold Markov Process of Gamma Intervals
Author(s) -
Lai C. D.
Publication year - 1981
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1981.tb00781.x
Subject(s) - mathematics , statistics , markov chain , correlation , conditional variance , statistical physics , econometrics , physics , geometry , volatility (finance) , autoregressive conditional heteroskedasticity
Summary In this paper we discuss the conditional correlations between two future intervals given the length of the current one in a Wold Markov process of Gamma intervals.