| 多维时间序列的条件独立性检验及其在股市相依关系中的应用 |
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| 引用本文： | 高伟,李佼瑞. 多维时间序列的条件独立性检验及其在股市相依关系中的应用[J]. 统计与信息论坛, 2012, 27(9): 69-73 |
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| 作者姓名： | 高伟 李佼瑞 |
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| 作者单位： | 西安财经学院统计学院,陕西西安,710061 |
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| 基金项目： | 陕西省教育厅科研计划项目《多维时间序列图模型及其应用》(11JK0497) |
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| 摘 要： | 提出多维时间序列中各分量之间直接联系存在性的信息论检验方法,构造了条件互信息统计量检验分量间的条件独立性,统计量的显著性用置换检验决定.将提出的方法应用到国际股票市场,研究收益率序列相依关系,结果表明,此方法能有效检验各分量之间的直接联系和间接联系.
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| 关 键 词： | 多维时间序列 条件独立性 条件互信息 股票市场 |
Detecting Conditional Independence for Multivariate Time Series and Its Application to the dependence of Stock Markets |
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| GAO Wei , LI Jiao-rui. Detecting Conditional Independence for Multivariate Time Series and Its Application to the dependence of Stock Markets[J]. Statistics & Information Tribune, 2012, 27(9): 69-73 |
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| Authors: | GAO Wei LI Jiao-rui |
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| Affiliation: | (School of Statistics,Xi’an University of Finance and Economics,Xi’an 710061,China) |
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| Abstract: | An information theory statistics is proposed for detecting the direct dependence between two components series given the remaining components of multivariate time series.The permutation procedure is used to determine the significance of the test statistics.The method is applied to the international markets to analysis the conditional dependence,and the results show that the method can capture the dependence structure between the components efficiently. |
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| Keywords: | multivariate time series conditional dependence conditional mutual information stock markets |
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