Characterizing Interdependencies of Multiple Time Series: Theory and Applications (SpringerBriefs in Statistics)

Hosoya, Yuzo, Oya, Kosuke, Takimoto, Taro, Kinoshita, Ryo

ISBN 10: 9811064350 / ISBN 13: 9789811064357

Published by Springer, 2017

About this Item

NEW. SHIPS FROM MULTIPLE LOCATIONS.

Seller Inventory # ERICA80098110643506

Bibliographic Details

• Title: Characterizing Interdependencies of Multiple Time Series: Theory and Applications (SpringerBriefs in Statistics)
• Publisher: Springer
• Publication Date: 2017
• Language: English
• ISBN 10: 9811064350
• ISBN 13: 9789811064357
• Binding: Paperback
• Condition: New
• Book Type: book

About this title

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

About the Author

Yuzo Hosoya, Professor Emeritus, Tohoku University

Kosuke Oya, Osaka University

Taro Takimoto, Kyushu University

Ryo Kinoshita, Tokyo Keizai University