The decomposition and measurement of the interdependency between second- order stationary processes
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Publication:756841
DOI10.1007/BF01192551zbMATH Open0723.60036MaRDI QIDQ756841FDOQ756841
Authors: Yuzo Hosoya 
Publication date: 1991
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
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Cites Work
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- A central limit theorem for stationary processes and the parameter estimation of linear processes
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- On the Granger Condition for Non-Causality
- Calculation of the amount of information about a random function contained in another such function
- Measurement of Linear Dependence and Feedback Between Multiple Time Series
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- R 2 Measures for Time Series
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- Economic processes involving feedback
- On the use of a linear model for the identification of feedback systems
Cited In (15)
- A bootstrap causality test for covariance stationary processes
- SPECTRAL FINANCIAL ECONOMETRICS
- Geometric and long run aspects of Granger causality
- Testing for short- and long-run causality: a frequency-domain approach
- A numerical method for factorizing the rational spectral density matrix
- On the causality between multiple locally stationary processes
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- Multivariate linear and nonlinear causality tests
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Characterizing interdependencies of multiple time series. Theory and applications
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Some Theoretical and Simulation Results on the Frequency Domain Causality Test
- Information theoretic interpretation of frequency domain connectivity measures
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