A test statistic for graphical modelling of multivariate time series

DOI10.1093/BIOMET/93.2.399MaRDI QIDQ5503404zbMATH OpenOpenAlexFDO

Authors Yasumasa Matsuda

Publication date 15 January 2009

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/93.2.399

zbMATH Keywords

asymptotic normalitybackward stepwise selectionconditional independencegraphical modelKullback-Leibler divergenceperiodogramspectral density matrix

Mathematics Subject Classification ID

Applications of graph theory (05C90) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(5)

• On nonparametric and semiparametric testing for multivariate linear time series
• Time series graphical Lasso and sparse VAR estimation
• Graphical conditional moment tests
• Decomposability and selection of graphical models for multivariate time series
• Graphical interaction models for multivariate time series.

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