Spectral Approach to Modeling Dependence in Multivariate Time Series
نویسندگان
چکیده
منابع مشابه
Developments in Multivariate Time Series Modeling
We consider modeling procedures for multiple time series which aim to address the challenge of providing both a good representation of the structure, and an efficient parameterization. We first review a method, applied to vector autoregressions of low order, which uses conditional independence graphs to identify a sparse structural autoregressive representation. We show by an example how this m...
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ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2019
ISSN: 1742-6588,1742-6596
DOI: 10.1088/1742-6596/1417/1/012007