Structural learning of contemporaneous dependencies in graphical VAR models

DOI10.1016/J.CSDA.2019.106880MaRDI QIDQ2291312zbMATH OpenOpenAlexWikidataFDO

Authors Lucia Paci, Guido Consonni

Publication date 30 January 2020

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2019.106880

zbMATH Keywords

Bayesian model selectiondecomposable graphical modelfractional Bayes factormultivariate time seriesVAR model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Bayesian Approach to Modelling Graphical Vector Autoregressions
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• Joint high-dimensional Bayesian variable and covariance selection with an application to eQTL analysis
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• Priors for the long run
• Simulation of hyper-inverse Wishart distributions in graphical models
• Sparse graphical models for exploring gene expression data
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• Subset selection for vector autoregressive processes using Lasso
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Cited in

(6)

• On constrained estimation of graphical time series models
• High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood
• Gaussian graphical modeling for spectrometric data analysis
• A Bayesian Approach to Modelling Graphical Vector Autoregressions
• Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series
• Bayesian sparse vector autoregressive switching models with application to human gesture phase segmentation

Describes a project that uses

Uses Software

• graphicalVAR
• HdBCS

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