Dahlhaus, Rainer
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Abstract
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.
| Document type: | Working paper |
|---|---|
| Place of Publication: | Heidelberg |
| Date Deposited: | 25 May 2016 13:05 |
| Date: | December 1999 |
| Number of Pages: | 21 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Series: | Beiträge zur Statistik > Beiträge |
