Statistical test for detrending-moving-average-based multivariate regression model

DOI10.1016/J.APM.2023.08.006MaRDI QIDQ7000519zbMATH OpenFDO

Authors Fang Wang, Guo-Sheng Han, Qing-Ju Fan

Publication date 7 April 2025

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.APM.2023.08.006

zbMATH Keywords

co-movementmultiscale dependentmultivariate fractal regression analysisoil buststatistical test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Adaptive semi-varying coefficient model selection
• Building multi-scale portfolios and efficient market frontiers using fractal regressions
• Complex systems: features, similarity and connectivity
• Coupling correlation detrended analysis for multiple nonstationary series
• Extending DFA-based multiple linear regression inference: application to acoustic impedance models
• Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression
• Insight into the inverse and the determinant of correlation coefficient matrix
• Multifractal detrended moving average analysis for texture representation
• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
• Statistical methods with varying coefficient models
• Statistical properties of the detrended multiple cross-correlation coefficient
• Varying Coefficient Regression Models: A Review and New Developments
• Varying index coefficient models

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