Graphical modeling of stochastic processes driven by correlated errors

DOI10.3150/21-BEJ1446MaRDI QIDQ6340781arXivFDO

Authors Søren Wengel Mogensen, Niels Richard Hansen

Publication date 15 May 2020

Published in arXiv

Full work available at URL https://doi.org/10.3150/21-BEJ1446

Mathematics Subject Classification ID

Markov processes (60Jxx) Inference from stochastic processes (62Mxx) Applications of statistics (62Pxx)

arXiv classification

math.STstat.TH

Abstract: We study a class of graphs that represent local independence structures in stochastic processes allowing for correlated error processes. Several graphs may encode the same local independencies and we characterize such equivalence classes of graphs. In the worst case, the number of conditions in our characterizations grows superpolynomially as a function of the size of the node set in the graph. We show that deciding Markov equivalence is coNP-complete which suggests that our characterizations cannot be improved upon substantially. We prove a global Markov property in the case of a multivariate Ornstein-Uhlenbeck process which is driven by correlated Brownian motions.

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