[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

--
Mark Salmon
Deutsche Morgan Grenfell Professor of Financial Markets
City University Business School
Frobisher Crescent
The Barbican
LONDON
EC2Y 8HB

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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