Characterizing Interdependencies of Multiple Time Series (Record no. 427346)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04947nam a22005655i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9789811064364 |
| -- | 978-981-10-6436-4 |
| 024 7# - | |
| -- | 10.1007/978-981-10-6436-4 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | QA276-280 |
| 072 #7 - | |
| -- | PBT |
| -- | bicssc |
| 072 #7 - | |
| -- | MAT029000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | PBT |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.5 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hosoya, Yuzo. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Characterizing Interdependencies of Multiple Time Series |
| Medium | [electronic resource] : |
| Remainder of title | Theory and Applications / |
| Statement of responsibility, etc | by Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| -- | author. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | Singapore : |
| Name of producer, publisher, distributor, manufacturer | Springer Singapore : |
| -- | Imprint: Springer, |
| Date of production, publication, distribution, manufacture | 2017. |
| 300 ## - | |
| -- | X, 133 p. 32 illus. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | JSS Research Series in Statistics, |
| -- | 2364-0057 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | 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. |
| 650 #0 - | |
| -- | Mathematical statistics. |
| 650 #0 - | |
| -- | Statistics. |
| 650 14 - | |
| -- | Statistical Theory and Methods. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S11001 |
| 650 24 - | |
| -- | Statistics for Life Sciences, Medicine, Health Sciences. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S17030 |
| 650 24 - | |
| -- | Statistics for Business/Economics/Mathematical Finance/Insurance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S17010 |
| 650 24 - | |
| -- | Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S17040 |
| 650 24 - | |
| -- | Statistics and Computing/Statistics Programs. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S12008 |
| 650 24 - | |
| -- | Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S17020 |
| 700 1# - | |
| -- | Oya, Kosuke. |
| -- | author. |
| -- | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 700 1# - | |
| -- | Takimoto, Taro. |
| -- | author. |
| -- | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 700 1# - | |
| -- | Kinoshita, Ryo. |
| -- | author. |
| -- | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9789811064357 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9789811064371 |
| 830 #0 - | |
| -- | JSS Research Series in Statistics, |
| -- | 2364-0057 |
| 856 40 - | |
| -- | https://doi.org/10.1007/978-981-10-6436-4 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
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