Identification of nonlinear VAR models using general conditional independence graphs

DOI10.1016/J.STAMET.2010.11.001MaRDI QIDQ537482zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

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• Graphical models in time series analysis (Thesis 1999)
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• Statistical tests for deterministic effects in broad band time series
• Testing for nonlinearity using redundancies: Quantitative and qualitative aspects
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• The sampling properties of conditional independence graphs for structural vector autoregressions
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS

Cited in

(10)

• The sampling properties of conditional independence graphs for structural vector autoregressions
• Conditional independence graph for nonlinear time series and its application to international financial markets
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• scientific article; zbMATH DE number 6671393 (Why is no real title available?)
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• A graphical approach for identifying causal relationships in nonlinear structural vector autoregressive models
• Testing Linearity for Network Autoregressive Models
• Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria
• Detecting conditional independence for modeling non-Gaussian time series
• The sampling properties of conditional independence graphs forI(1) structural VAR models

Describes a project that uses

Uses Software

• R
• bootstrap

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