The Convex Mixture Distribution: Granger Causality for Categorical Time Series

DOI10.1137/20M133097XzbMath1468.62310OpenAlexW3125840893MaRDI QIDQ4999347

Xiudi Li, Emily B. Fox, Alex Tank, Ali Shojaie

Publication date: 6 July 2021

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m133097x

zbMATH Keywords

time seriesconvexityGranger causalitycategorical datastructured sparsity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Related Items (4)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Estimation and Selection for High-Order Markov Chains with Bayesian Mixture Transition Distribution Models ⋮ Unnamed Item ⋮ Structured priors for sparse probability vectors with application to model selection in Markov chains

Uses Software

• UCI-ml
• quadprog
• CarpeDiem

Cites Work

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