Analysis of variance for multivariate time series

DOI10.1007/S40300-017-0122-2zbMATH Open1416.62516OpenAlexW2754007656MaRDI QIDQ1640652FDOQ1640652

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

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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)

Cites Work

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• A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
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• Asymptotic distribution of statistics based on quadratic entropy and bootstrapping
• On Detecting a Signal in N Stationarily Correlated Noise Series
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• ON A COMPREHENSIVE TEST FOR THE HOMOGENEITY OF VARIANCES AND COVARIANCES IN MULTIVARIATE PROBLEMS

Cited In (5)

• Homogeneity tests for one-way models with dependent errors under correlated groups
• Tests for the existence of group effects and interactions for two-way models with dependent errors
• 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
• Three-factor profile analysis with GARCH innovations

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