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

DOI10.1007/S11222-011-9230-7zbMATH Open1322.62193OpenAlexW1995713695MaRDI QIDQ746217FDOQ746217

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

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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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