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The paper deals with a statistical analysis aiming at quantitative characterization in the frequency domain of the strength of one-way effects and reciprocity between a pair of series in the presence ...of a third series, suggesting a unified frequency-domain method of statistical estimation and testing for the proposed partial measures of interdependency. In particular, the paper provides an estimation procedure of those measures based on a numerical canonical factorizaation method of spectral densities and proposes Monte Carlo Wald tests for those measures. The method is applicable to data generated by the stationary multivariate ARMA process.続きを見る
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