Detection of Common Long-Range Dependence Component for Multivariate Time Series
碩士 === 東海大學 === 統計學系 === 87 === In this paper, we proposed a new method to identifying common long-range dependent component in a multivariate time series. A common long-range dependent component exists if individual series are all long-range dependent but there exists a particular linear combinatio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43264190534525540518 |