Characterizing interdependencies of multiple time series. Theory and applications

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

Kosuke Oya, Yuzo Hosoya, Taro Takimoto, Ryo Kinoshita

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

causality; measure of association; Granger non-causality; multiple time series; canonical factorization; frequency-domain representation; measure of one-way effect; measure of reciprocity; Monte Carlo Wald test; partial measures of interdependence

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H20: Measures of association (correlation, canonical correlation, etc.)

91B84: Economic time series analysis

62-02: Research exposition (monographs, survey articles) pertaining to statistics