Characterizing Interdependencies of Multiple Time Series

519.5

Hosoya, Yuzo. Characterizing Interdependencies of Multiple Time Series Theory and Applications / by Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita. -
X, 133 p. 32 illus. online resource. - (JSS Research Series in Statistics, ) Content notes : 1: Introduction to statistical causal analysis -- 2: Measures of one-way effect, reciprocity and association -- 3: Partial measures of interdependence -- 4: Inference based on the vector autoregressive and moving average model -- 5: Inference on change in causality measures -- 6: Simulation performance of estimation methods -- 7: Empirical analysis of macroeconomic series -- 8: Empirical analysis of change in causality measures -- 9: Conclusion -- Appendix -- References -- Index. 9789811064364 * Mathematical statistics. Statistics. Statistical Theory and Methods. Statistics for Life Sciences, Medicine, Health Sciences. Statistics for Business/Economics/Mathematical Finance/Insurance. Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law. Statistics and Computing/Statistics Programs. Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences. * Oya, Kosuke., aut, http://id.loc.gov/vocabulary/relators/autTakimoto, Taro., aut, http://id.loc.gov/vocabulary/relators/autKinoshita, Ryo., aut, http://id.loc.gov/vocabulary/relators/aut * Title * Series