Analysis of variance for multivariate time series

DOI10.1007/S40300-017-0122-2MaRDI QIDQ1640652zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
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• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
• Asymptotic distribution of statistics based on quadratic entropy and bootstrapping
• Asymptotic theory of statistical inference for time series
• Multivariate statistics. High dimensional and large-sample approximations.
• ON A COMPREHENSIVE TEST FOR THE HOMOGENEITY OF VARIANCES AND COVARIANCES IN MULTIVARIATE PROBLEMS
• On Detecting a Signal in N Stationarily Correlated Noise Series
• Quadratic entropy and analysis of diversity

Cited in

(8)

• Homogeneity tests for one-way models with dependent errors under correlated groups
• Analysis of variance for high-dimensional time series
• Three-factor profile analysis with GARCH innovations
• Using analysis of variance and factor analysis for the reduction of high dimensional variation in time series of energy consumption
• Two-Way Analysis of Variance for Stationary Periodic Time Series
• Autoregressive time series analysis of variance with skew normal innovations
• Tests for the existence of group effects and interactions for two-way models with dependent errors
• Higher order approximation of the distribution of ANOVA tests for high-dimensional time series

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