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Time series analysis of covariance based on linear transfer function models

Author

Listed:
  • M. Azimmohseni

    (Golestan University)

  • M. Khalafi

    (Golestan University)

  • M. Kordkatuli

    (Golestan University)

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.

Suggested Citation

  • M. Azimmohseni & M. Khalafi & M. Kordkatuli, 2019. "Time series analysis of covariance based on linear transfer function models," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 1-16, April.
    • Handle: RePEc:spr:sistpr:v:22:y:2019:i:1:d:10.1007_s11203-018-9182-z
    DOI: 10.1007/s11203-018-9182-z
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    References listed on IDEAS

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