Directed acyclic graph modeling for structural vector autoregressions

MaRDI QIDQ5435983zbMATH OpenFDO

Authors

Publication date 14 January 2008

zbMATH Keywords

conditional independence graphpartial correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90) Directed graphs (digraphs), tournaments (05C20)

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Cited in

(8)

• Identifying structural VAR model with latent variables using overcomplete ICA
• Constructing structural VAR models with conditional independence graphs
• Hierarchical subspace identification of directed acyclic graphs
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• Identification of structural vector autoregressive causal graphical models by information theory criteria
• Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression
• Structural factor equation models for causal network construction via directed acyclic mixed graphs
• The sampling properties of conditional independence graphs for structural vector autoregressions

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