Téléchargez le livre : Characterizing Interdependencies of Multiple Time Series

Characterizing Interdependencies of Multiple Time Series

Theory and Applications de

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Éditeur :

Springer


Collection :

SpringerBriefs in Statistics

Paru le : 2017-10-26

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Description

This book introduces academic researchers and professionals to the basic concepts and methods for characterizing interdependencies of multiple time series in the frequency domain. Detecting causal directions between a pair of time series and the extent of their effects, as well as testing the non existence of a feedback relation between them, have constituted major focal points in multiple time series analysis since Granger introduced the celebrated definition of causality in view of prediction improvement.

Causality analysis has since been widely applied in many disciplines. Although most analyses are conducted from the perspective of the time domain, a frequency domain method introduced in this book sheds new light on another aspect that disentangles the interdependencies between multiple time series in terms of long-term or short-term effects, quantitatively characterizing them. The frequency domain method includes the Granger noncausality test as a special case.

Chapters 2 and 3 of the book introduce an improved version of the basic concepts for measuring the one-way effect, reciprocity, and association of multiple time series, which were originally proposed by Hosoya. Then the statistical inferences of these measures are presented, with a focus on the stationary multivariate autoregressive moving-average processes, which include the estimation and test of causality change. Empirical analyses are provided to illustrate what alternative aspects are detected and how the methods introduced here can be conveniently applied. Most of the materials in Chapters 4 and 5 are based on the authors' latest research work. Subsidiary items are collected in the Appendix.
Pages
133 pages
Collection
SpringerBriefs in Statistics
Parution
2017-10-26
Marque
Springer
EAN papier
9789811064357
EAN PDF
9789811064364
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
3297 Ko
Prix
58,01 €
EAN EPUB
9789811064364
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
2806 Ko
Prix
58,01 €

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