Characterizing Interdependencies of Multiple Time Series: Theory and Applications - Couverture souple
Synopsis
Presents an approach to characterizing the interdependencies of multivariate time series by means of the basic concept of the one-way effect
Shows how the third-series effect is eliminated with least causal distortion, introducing partial measures of the one-way effect, reciprocity, and association
Illustrates the proposed causal characterization by means of empirical applications to real data sets of the US macroeconomy and Japan’s financial economy
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
Yuzo Hosoya, Professor Emeritus, Tohoku University
Kosuke Oya, Osaka University
Taro Takimoto, Kyushu University
Ryo Kinoshita, Tokyo Keizai University
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Characterizing Interdependencies of Multiple Time Series (eng)
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Characterizing Interdependencies of Multiple Time Series: Theory and Applications
Edité par
SPRINGER NATURE Nov 2017, 2017
ISBN 10 : 9811064350
ISBN 13 : 9789811064357
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 133 pp. Englisch. N° de réf. du vendeur 9789811064357
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Characterizing Interdependencies of Multiple Time Series: Theory and Applications
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Characterizing Interdependencies of Multiple Time Series | Theory and Applications
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Taschenbuch. Etat : Neu. Characterizing Interdependencies of Multiple Time Series | Theory and Applications | Yuzo Hosoya (u. a.) | Taschenbuch | x | Englisch | 2017 | Springer Singapore | EAN 9789811064357 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. N° de réf. du vendeur 110524050
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Characterizing Interdependencies of Multiple Time Series : Theory and Applications
Edité par
Springer Nature Singapore, 2017
ISBN 10 : 9811064350
ISBN 13 : 9789811064357
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N° de réf. du vendeur 9789811064357
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Characterizing Interdependencies of Multiple Time Series: Theory and Applications (SpringerBriefs in Statistics)
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
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Paperback. Etat : New. NEW. SHIPS FROM MULTIPLE LOCATIONS. book. N° de réf. du vendeur ERICA80098110643506
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