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• W3100543032 abstract "We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series with non-linear dependencies. The models are derived from ordinary time series models by imposing constraints that are encoded by mixed graphs. In these graphs each component series is represented by a single vertex and directed edges indicate possible Granger-causal relationships between variables while undirected edges are used to map the contemporaneous dependence structure. We introduce various notions of Granger-causal Markov properties and discuss the relationships among them and to other Markov properties that can be applied in this context." @default.
• W3100543032 created "2020-11-23" @default.
• W3100543032 creator A5006062966 @default.
• W3100543032 date "2011-02-15" @default.
• W3100543032 modified "2023-10-10" @default.
• W3100543032 title "Graphical modelling of multivariate time series" @default.
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• W3100543032 doi "https://doi.org/10.1007/s00440-011-0345-8" @default.
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