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Characterizing interdependencies of multiple time series : theory and applications

Author: Yuzo Hosoya; Kosuke Oya; Taro Takimoto; Ryo Kinoshita
Publisher: Singapore : Springer, [2017]
Series: SpringerBriefs in statistics., JSS research series in statistics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Printed edition:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yuzo Hosoya; Kosuke Oya; Taro Takimoto; Ryo Kinoshita
ISBN: 9789811064364 9811064369 9811064350 9789811064357
OCLC Number: 1008868222
Description: 1 online resource (x, 133 pages).
Contents: ""Preface""; ""Acknowledgements""; ""Contents""; ""1 Introduction""; ""1.1 On Empirical Causality""; ""1.2 Causality in Economic Analysis""; ""1.3 Empirical Economic Models ""; ""1.3.1 The Cowles Approach""; ""1.3.2 Economic Time-Series Models""; ""1.4 Basic Concepts for Statistical Inference""; ""1.4.1 Conditional Inference""; ""1.4.2 Defining Exogeneity""; ""1.4.3 Interpretative Problems""; ""References""; ""2 The Measures of One-Way Effect, Reciprocity, and Association""; ""2.1 Prediction and Causality""; ""2.1.1 Statement of the Problem""; ""2.1.2 Terminology and Notations"" ""2.2 Defining Non-causality""""2.3 The One-Way Effect Measure""; ""2.4 Alternative Methods for Deriving Mv tou(λ)""; ""2.4.1 Distributed-Lag Representation Approach""; ""2.4.2 Innovation Orthogonalization Approach""; ""2.5 Measures of Association and Reciprocity""; ""2.6 Examples""; ""References""; ""3 Representation of the Partial Measures""; ""3.1 Introduction""; ""3.2 Third-Series Involvement""; ""3.3 Partial Measures of Interdependence""; ""3.3.1 Representing the Partial Measures""; ""3.3.2 Glossary on Partial Measures of Interdependence""; ""3.3.3 The Stationary ARMA Model"" ""3.4 Extension to Non-stationary Reproducible Processes""""References""; ""4 Inference Based on the Vector Autoregressive and Moving Average Model""; ""4.1 Inference Procedure""; ""4.1.1 Three-Step Estimation Procedure""; ""4.1.2 Optimization Algorithm in Step 3""; ""4.1.3 Monte Carlo Wald Test of Measures of Interdependence""; ""4.1.4 Monte Carlo Wald Testing of Non-causality""; ""4.2 Simulation Performance""; ""4.2.1 Designing Monte Carlo Simulation""; ""4.2.2 Simulation Results""; ""4.2.3 Comparison of Step 2 and Step 3 Estimation""; ""4.3 Empirical Analysis of Macroeconomic Series"" ""4.3.1 Literature""""4.3.2 Application of the Partial Measures to US Macroeconomic Data""; ""References""; ""5 Inference on Changes in Interdependence Measures""; ""5.1 Change in Measures""; ""5.1.1 Change in Measures for Stationary Vector ARMA Model""; ""5.1.2 Inference for Noncausal Relationship""; ""5.2 Tests Based on Subsampling Method""; ""5.2.1 Test for a Change in Measures Using High-Frequency Data""; ""5.2.2 Variance Estimation via Subsampling""; ""5.3 A Simulation Study of Finite Sample Test Properties""; ""5.3.1 Change in Simple Causality Measure"" ""5.3.2 Change in Partial Causality Measure""""5.4 Empirical Illustrations""; ""5.4.1 Stock Returns and Dividend Yields""; ""5.4.2 Intra-Daily Financial Time Series""; ""References""; ""Appendix Technical Supplements""
Series Title: SpringerBriefs in statistics., JSS research series in statistics.
Responsibility: Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita.

Abstract:

This book introduces academic researchers and professionals to the basic concepts and methods for characterizing interdependencies of multiple time series in the frequency domain.  Read more...

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