Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis

DOI10.1007/S11222-011-9230-7MaRDI QIDQ746217zbMATH OpenOpenAlexFDO

Authors T. J. Harris, Wei Yu

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9230-7

zbMATH Keywords

ANOVAnonlinear time seriessensitivity analysisMonte Carlo methodsstochastic simulationvariance decomposition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

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Cited in

(2)

• A generalized sensitivity analysis method based on variance and covariance decomposition of summatory functions for multi-input multi-output systems
• Variance analysis of linear SIMO models with spatially correlated noise

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