Graphical modelling of multivariate time series

DOI10.1007/S00440-011-0345-8zbMATH Open1316.60049arXivmath/0610654OpenAlexW3100543032MaRDI QIDQ438963FDOQ438963

Authors: Michael Eichler 

Publication date: 31 July 2012

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series with non-linear dependencies. The models are derived from ordinary time series models by imposing constraints that are encoded by mixed graphs. In these graphs each component series is represented by a single vertex and directed edges indicate possible Granger-causal relationships between variables while undirected edges are used to map the contemporaneous dependence structure. We introduce various notions of Granger-causal Markov properties and discuss the relationships among them and to other Markov properties that can be applied in this context.

Full work available at URL: https://arxiv.org/abs/math/0610654

Recommendations

• Graphical modeling of dynamic relationships in multivariate time series
• Learning of multivariate time series Granger causality based on graphical model methods
• Granger causality and path diagrams for multivariate time series
• Graphical models for multivariate Markov chains
• Graphical interaction models for multivariate time series.

zbMATH Keywords

graphical modelsmultivariate time seriesGranger causalityglobal Markov property

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09) Stationary stochastic processes (60G10)

Cites Work

• Introduction to Graphical Modelling
• Mixing: Properties and examples
• Graphical interaction models for multivariate time series.
• ARCH models and financial applications
• Nonlinear time series. Nonparametric and parametric methods
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Maximum likelihood analysis of spike trains of interacting nerve cells
• Qualitative threshold ARCH models
• Title not available (Why is that?)
• Conditional independence for statistical operations
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Marginalizing and conditioning in graphical models
• Granger causality and path diagrams for multivariate time series
• Dynamic modelling and causality
• Title not available (Why is that?)
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• On the Validity of the Markov Interpretation of Path Diagrams of Gaussian Structural Equations Systems with Correlated Errors
• Partial directed coherence: a new concept in neural structure determination
• Title not available (Why is that?)
• The General Equivalence of Granger and Sims Causality
• A Note on Noncausality
• Handbook of econometrics. Vol. 4
• Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series
• Alternative Markov properties for chain graphs
• Title not available (Why is that?)
• Title not available (Why is that?)
• Graphical modeling of dynamic relationships in multivariate time series
• Binary Models for Marginal Independence
• Graphical Models for Composable Finite Markov Processes
• Separation and completeness properties for AMP chain graph Markov models.
• ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Nonlinear time series analysis of economic and financial data
• Identification of vector AR models with recursive structural errors using conditional independence graphs

Cited In (59)

• Title not available (Why is that?)
• Graphical modeling of dynamic relationships in multivariate time series
• Time-like Graphical Models
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Time series models with given interactions
• Graphical models for nonstationary time series
• Granger causality detecting based on graphical modelling
• Constructing structural VAR models with conditional independence graphs
• Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
• Granger causality and path diagrams for multivariate time series
• Unified functional network and nonlinear time series analysis for complex systems science: the pyunicorn package
• Sparse seasonal and periodic vector autoregressive modeling
• Causal conditioning and instantaneous coupling in causality graphs
• Simulation study of direct causality measures in multivariate time series
• Statistical mechanics and information-theoretic perspectives on complexity in the Earth system
• Stress testing network reconstruction via graphical causal model
• Decomposability and selection of graphical models for multivariate time series
• Graphical modeling for tests of ARMA models
• A graphical approach for identifying causal relationships in nonlinear structural vector autoregressive models
• Qualitative-probabilistic-network-based modeling of temporal causalities and its application to feedback loop identification
• The relation between Granger causality and directed information theory: a review
• Analysis of air quality time series of Hong Kong with graphical modeling
• Relating the network graphs of state-space representations to Granger causality conditions
• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Directed information graphs for the Granger causality of multivariate time series
• Dynamic staged trees for discrete multivariate time series: forecasting, model selection and causal analysis
• Shortcomings of Transfer Entropy and Partial Transfer Entropy: Extending Them to Escape the Curse of Dimensionality
• Causal network reconstruction from time series: From theoretical assumptions to practical estimation
• Statistical analysis of multivariate discrete-valued time series
• Using causal discovery for feature selection in multivariate numerical time series
• Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
• Directed graphs and variable selection in large vector autoregressive models
• Time series graphical Lasso and sparse VAR estimation
• Learning of multivariate time series Granger causality based on graphical model methods
• On constrained estimation of graphical time series models
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Graphical Techniques for Selecting Explanatory Variables for Time Series Data
• A test statistic for graphical modelling of multivariate time series
• Consistent causal inference from time series with PC algorithm and its time-aware extension
• Markov equivalence of marginalized local independence graphs
• Graphical modeling of stochastic processes driven by correlated noise
• Testing coefficients of AR and bilinear time series models by a graphical approach
• Structural learning of contemporaneous dependencies in graphical VAR models
• Statistical causality for multivariate nonlinear time series via Gaussian process models
• Latent variable analysis and partial correlation graphs for multivariate time series
• Graphical interaction models for multivariate time series.
• Dynamic and robust Bayesian graphical models
• Causal inference for multivariate stochastic process prediction
• Title not available (Why is that?)
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• Graphs for Dependence and Causality in Multivariate Time Series
• Monotone dependence in graphical models for multivariate Markov chains
• Graphical models for multivariate Markov chains
• Causal inference with multiple time series: principles and problems
• The biplot graphic technique for the representation of multivariate time series
• Learning Graphical Models for Stationary Time Series
• A test for second order stationarity of a multivariate time series
• Causality indices for bivariate time series data: a comparative review of performance
• Mixed orthogonality graphs for continuous-time stationary processes

Uses Software

• MIM

This page was built for publication: Graphical modelling of multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q438963)