Graphical models for nonstationary time series
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Abstract: We propose NonStGM, a general nonparametric graphical modeling framework for studying dynamic associations among the components of a nonstationary multivariate time series. It builds on the framework of Gaussian Graphical Models (GGM) and stationary time series Gaussian Graphical model (StGM), and complements existing works on parametric graphical models based on change point vector autoregressions (VAR). Analogous to StGM, the proposed framework captures conditional noncorrelations (both intertemporal and contemporaneous) in the form of an undirected graph. In addition, to describe the more nuanced nonstationary relationships among the components of the time series, we introduce the new notion of conditional nonstationarity/stationarity and incorporate it within the graph architecture. This allows one to distinguish between direct and indirect nonstationary relationships among system components, and can be used to search for small subnetworks that serve as the "source" of nonstationarity in a large system. Together, the two concepts of conditional noncorrelation and nonstationarity/stationarity provide a parsimonious description of the dependence structure of the time series.
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Cited in
(20)- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- Time-like Graphical Models
- Learning Graphical Models for Stationary Time Series
- Authors' reply to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Nuo Xu and Fukang Zhu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- G. Tunnicliffe-Wilson's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Maozai Tian and Tan Meng's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Yanbo Tang's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Alessandra Luati's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Hengxu Liu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Kuldeep Kumar's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- R. Killick, J. Wilson, X. Chen, and R. Lund's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Rajendra Bhansali's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Cristian F. Jiménez-Varón and Marina I. Knight's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Andrej Srakar's contribution to the discussion of `new tools for network time series with an application to Covid-19 hospitalizations' by Nason et al..
- David Hand's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Mirko Armillotta and Konstantinos Fokianos' contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Seconder of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Proposer of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Asymptotic equivalence of locally stationary processes and bivariate Gaussian white noise
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