Partial group delay and time-lagged relationships among multiple time series

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