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Time series analysis of covariance based on linear transfer function models

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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.

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Acknowledgements

The authors would like to thank the reviewer and the editor for their valuable and constructive comments that led to an improved manuscript.

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Authors and Affiliations

  1. Department of Statistics, Faculty of Science, Golestan University, P.O. Box 155, Gorgan, Iran

    M. Azimmohseni, M. Khalafi & M. Kordkatuli

Authors
  1. M. Azimmohseni
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  2. M. Khalafi
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  3. M. Kordkatuli
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Correspondence to M. Azimmohseni.

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Azimmohseni, M., Khalafi, M. & Kordkatuli, M. Time series analysis of covariance based on linear transfer function models. Stat Inference Stoch Process 22, 1–16 (2019). https://doi.org/10.1007/s11203-018-9182-z

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  • DOI: https://doi.org/10.1007/s11203-018-9182-z

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