Analysis of variance for multivariate time series

DOI10.1007/s40300-017-0122-2zbMath1416.62516OpenAlexW2754007656MaRDI QIDQ1640652

Hideaki Nagahata, Masanobu Taniguchi

Publication date: 14 June 2018

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-017-0122-2

zbMATH Keywords

analysis of varianceWhittle likelihoodspectral density matrixDCC-GARCH modelgeneralized linear processnon-Gaussian vector stationary process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Tests for the existence of group effects and interactions for two-way models with dependent errors ⋮ Homogeneity tests for one-way models with dependent errors under correlated groups

Cites Work

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• A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
• Multivariate Statistics

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