We propose a chain graph with unobserved variables to model multivariate times series. W assume that anunderlying common trend linearly affects the observable time series, but we do not restrict ourselves to the situation where the underlying factor accounts for all contemporary correlations among the residuals.
Analysis of multivariate time series via a hidden graphical model
STANGHELLINI, Elena;
1999
Abstract
We propose a chain graph with unobserved variables to model multivariate times series. W assume that anunderlying common trend linearly affects the observable time series, but we do not restrict ourselves to the situation where the underlying factor accounts for all contemporary correlations among the residuals.File in questo prodotto:
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