[S] serial correlation measures with irregular sampled data

mark salmon (mark@turzes.demon.co.uk)
Fri, 04 Dec 1998 09:40:18 +0000

I would appreciate any help the group can give me in locating
references for measuring autocorrelation in data that is observed at
irregular intervals. I believe I have seen some discussion of the issue
but can't remember if it was on this list or some other one.
Also does S Plus have any simple way of doing the calculations.

Many thanks in advance


Mark Salmon
Deutsche Morgan Grenfell Professor of Financial Markets
City University Business School
Frobisher Crescent
The Barbican

tel: +44 (0)171 477 8746 Direct Line tel: +44 (0)171 477 87461 Secretary fax:+44 (0) 171 4778881

Home: +44 (0)1435 882622 Home page:http://www.city.ac.uk/cubs/ferc

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