Analysis of variance for high-dimensional time series

Hideaki Nagahata () and Masanobu Taniguchi
Additional contact information
Hideaki Nagahata: Waseda University
Masanobu Taniguchi: Waseda University

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 2, No 12, 455-468

Abstract: Abstract Analysis of variance (ANOVA) is tailored for independent observations. Recently, there has been considerable demand for ANOVA of high-dimensional and dependent observations in many fields. For example, it is important to analyze differences among industry averages of financial data. However, ANOVA for these types of observations has been inadequately developed. In this paper, we thus present a study of ANOVA for high-dimensional and dependent observations. Specifically, we present the asymptotics of classical test statistics proposed for independent observations and provide a sufficient condition for them to be asymptotically normal. Numerical examples for simulated and radioactive data are presented as applications of these results.

Keywords: Analysis of variance; High-dimensional dependent disturbance; DCC-GARCH model; Non-Gaussian vector stationary process (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11203-018-9187-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9187-7

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-018-9187-7

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().