Time series analysis of covariance based on linear transfer function models

M. Azimmohseni (), M. Khalafi () and M. Kordkatuli ()
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M. Azimmohseni: Golestan University
M. Khalafi: Golestan University
M. Kordkatuli: Golestan University

Statistical Inference for Stochastic Processes, 2019, vol. 22, issue 1, No 1, 16 pages

Abstract: Abstract In this article, a time series analysis of covariance model is introduced when covariates time series have lead–lag relationship with response time series. Parameter estimation and hypothesis testing for this model are made in spectral domain. We provide an instruction for our approach using a real Hydrological time series data set.

Keywords: Discrete Fourier transform; Frequency response function; Prewhitening; Spectral representation; Transfer function model; Primary: 62M10; Secondary: 62M15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11203-018-9182-z

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