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Analysis of variance for high-dimensional time series

Author

Listed:
  • Hideaki Nagahata

    (Waseda University)

  • Masanobu Taniguchi

    (Waseda University)

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.

Suggested Citation

  • Hideaki Nagahata & Masanobu Taniguchi, 2018. "Analysis of variance for high-dimensional time series," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 455-468, July.
    • Handle: RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9187-7
    DOI: 10.1007/s11203-018-9187-7
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    References listed on IDEAS

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    1. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
    2. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
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