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:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11391/137572
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? 0
social impact