On the causality between multiple locally stationary processes

DOI10.1155/2012/261707zbMath1247.60049OpenAlexW2077479335WikidataQ58697762 ScholiaQ58697762MaRDI QIDQ444212

Junichi Hirukawa

Publication date: 14 August 2012

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a0cbb95c2b28d4b274fd8400659ec274334d480e

zbMATH Keywords

locally stationary processesconcepts of dependence and causalitymeasures of linear dependencetime-varying spectral densities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Cites Work

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• On the Kullback-Leibler information divergence of locally stationary processes
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Maximum likelihood estimation and model selection for locally stationary processes^∗

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