Graphical Modelling of Multivariate Time Series

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… (More)

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@inproceedings{Eichler2006GraphicalMO, title={Graphical Modelling of Multivariate Time Series}, author={Michael Eichler}, year={2006} }