Graphical modelling for multivariate time series
نویسنده
چکیده
Graphical models for multivariate time series is a concept extended by Dahlhaus (2000) from a random vector to a time series. We propose a test statistic to identify a graphical model for multivariate time series with the Kullback-Leibler distance between two spectral density matrices characterized by graphical models. Asymptotic null distribution is derived to be normal with the mean and variance which depend just on the dimensions of the graphs, which makes the modelling procedure easy and practical.
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