Decomposability and selection of graphical models for multivariate time series

DOI10.1093/BIOMET/90.2.251MaRDI QIDQ4455409zbMATH OpenOpenAlexFDO

Authors Roland Fried, Vanessa Didelez

Publication date 16 March 2004

Published in Biometrika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/5221

zbMATH Keywords

model selectionhaemodynamicsphysiological time seriesmarginalisationgraphical interaction modelpartial spectral coherency

Mathematics Subject Classification ID

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

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Cited in

(8)

• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Graphical Techniques for Selecting Explanatory Variables for Time Series Data
• Multiple testing and error control in Gaussian graphical model selection
• Detection of information flow in major international financial markets by interactivity network analysis
• Latent variable analysis and partial correlation graphs for multivariate time series
• Graphical interaction models for multivariate time series.

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