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

DOI10.1007/s11222-011-9230-7zbMath1322.62193OpenAlexW1995713695MaRDI QIDQ746217

Wei Yu, T. J. Harris

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

sensitivity analysisMonte Carlo methodsANOVAnonlinear time seriesstochastic 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)

Related Items

A generalized sensitivity analysis method based on variance and covariance decomposition of summatory functions for multi-input multi-output systems

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