Characterizing interdependencies of multiple time series. Theory and applications

DOI10.1007/978-981-10-6436-4zbMath1387.62003OpenAlexW2765191058MaRDI QIDQ1684637

Taro Takimoto, Yuzo Hosoya, Ryo Kinoshita, Kosuke Oya

Publication date: 11 December 2017

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-6436-4

zbMATH Keywords

causalitymeasure of associationGranger non-causalitymultiple time seriescanonical factorizationfrequency-domain representationmeasure of one-way effectmeasure of reciprocityMonte Carlo Wald testpartial measures of interdependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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