The inverse covariance structure of the bivariate model

Abstract

There exists a wide range of possible relationships between two series that are jointly and individually covariance stationary. Univariate time series models were characterized for each series and a dynamic shock model was identified. The Inverse Cross Correlation estimator was proposed. The proposed method uses the least squares method. The relationship between the two univariate residual series was then identified

Keywords:

• Covariance Stationary
• Cross Covariance Function
• Univariate Residual Series
• Bivariate Model