Graphical interaction models for multivariate time series1

被引：14

作者：

Rainer Dahlhaus

机构：

[1] Universität Heidelberg,

[2] Institut für Angewandte Mathematik,undefined

[3] Im Neuenheimer Feld 294,undefined

[4] 69120 Heidelberg,undefined

[5] Germany (e-mail: dahlhaus@statlab.uni-heidelberg.de),undefined

来源：

Metrika | 2000年 / 51卷

关键词：

Key words: Graphical models, multivariate time series, partial spectral coherence, spectral estimates, multivariate autoregressive processes, air pollution data.;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper we extend the concept of graphical models for multivariate data to multivariate time series. We define a partial correlation graph for time series and use the partial spectral coherence between two components given the remaining components to identify the edges of the graph. As an example we consider multivariate autoregressive processes. The method is applied to air pollution data.

引用

页码：157 / 172

页数：15

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