Identification of nonlinear VAR models using general conditional independence graphs

DOI10.1016/j.stamet.2010.11.001zbMath1213.62139OpenAlexW2034489926MaRDI QIDQ537482

Yong-Cai Geng, Sumit K. Garg

Publication date: 20 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2010.11.001

zbMATH Keywords

surrogate dataconditional mutual informationcorrelation integralnonlinear vector autoregressive model

Mathematics Subject Classification ID

Related Items (1)

Conditional independence graph for nonlinear time series and its application to international financial markets

Uses Software

• R
• bootstrap

Cites Work

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• Granger causality and path diagrams for multivariate time series
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• Statistical tests for deterministic effects in broad band time series
• Testing for nonlinearity using redundancies: Quantitative and qualitative aspects
• Detecting nonlinearity in multivariate time series
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• On U-statistics and v. mise? statistics for weakly dependent processes
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• The sampling properties of conditional independence graphs for structural vector autoregressions
• Generalized redundancies for time series analysis
• Graphical interaction models for multivariate time series.

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