Latent variable analysis and partial correlation graphs for multivariate time series (Q2483898)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Latent variable analysis and partial correlation graphs for multivariate time series |
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Latent variable analysis and partial correlation graphs for multivariate time series (English)
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1 August 2005
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We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between a factor model and the structure among the observable variables.
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Time series analysis
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Dimension reduction
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Factor analysis
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Partial correlations
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