Identification of nonlinear VAR models using general conditional independence graphs

DOI10.1016/J.STAMET.2010.11.001zbMATH Open1213.62139OpenAlexW2034489926MaRDI QIDQ537482FDOQ537482

Yong-Cai Geng, Sumit K. Garg

Publication date: 20 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2010.11.001

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zbMATH Keywords

conditional mutual informationcorrelation integralsurrogate datanonlinear vector autoregressive model

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Granger causality and path diagrams for multivariate time series
• On U-statistics and v. mise? statistics for weakly dependent processes
• Testing for nonlinearity using redundancies: Quantitative and qualitative aspects
• Detecting nonlinearity in multivariate time series
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• Statistical tests for deterministic effects in broad band time series
• Graphical models in time series analysis (Thesis 1999)
• Title not available (Why is that?)
• The sampling properties of conditional independence graphs for structural vector autoregressions
• Generalized redundancies for time series analysis

Cited In (5)

• Conditional independence graph for nonlinear time series and its application to international financial markets
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• The sampling properties of conditional independence graphs forI(1) structural VAR models
• The sampling properties of conditional independence graphs for structural vector autoregressions
• Title not available (Why is that?)

Uses Software

• R
• bootstrap

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