Identification of nonlinear VAR models using general conditional independence graphs
type: Item
instance of: scholarly article
title: Identification of nonlinear VAR models using general conditional independence graphs
zbMATH Open document ID: 1213.62139
author: Yong-Cai Geng
author: Sumit K. Garg
published in: Statistical Methodology
publication date: 2011-05-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 5898228
zbMATH Keywords: nonlinear vector autoregressive model
zbMATH Keywords: conditional mutual information
zbMATH Keywords: correlation integral
zbMATH Keywords: surrogate data
describes a project that uses: R
describes a project that uses: bootstrap
MaRDI profile type: Publication
full work available at URL: j.stamet.2010.11.001
OpenAlex ID: W2034489926
cites work: Graphical interaction models for multivariate time series.
cites work: On U-statistics and v. mise? statistics for weakly dependent processes
cites work: Tests for Serial Independence and Linearity Based on Correlation Integrals
cites work: Q4318617
cites work: Graphical models in time series analysis (Thesis 1999)
cites work: Granger causality and path diagrams for multivariate time series
cites work: Q3014369
cites work: USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
cites work: Q4382293
cites work: Testing for nonlinearity using redundancies: Quantitative and qualitative aspects
cites work: Detecting nonlinearity in multivariate time series
cites work: Generalized redundancies for time series analysis
cites work: Q4272842
cites work: Identification of vector AR models with recursive structural errors using conditional independence graphs
cites work: The sampling properties of conditional independence graphs for structural vector autoregressions
cites work: Q3358073
cites work: Statistical tests for deterministic effects in broad band time series
DOI: 10.1016/J.STAMET.2010.11.001
Recommended article: Constructing structural VAR models with conditional independence graphs
Recommended article: Identification of vector AR models with recursive structural errors using conditional independence graphs
Recommended article: Identification and Estimation in Non-Fundamental Structural VARMA Models
Recommended article: Q5257837
Recommended article: Identification of structural VAR models via independent component analysis: a performance evaluation study
Recommended article: The sampling properties of conditional independence graphs forI(1) structural VAR models
Recommended article: Q3179970
Recommended article: Conditional independence graph for nonlinear time series and its application to international financial markets
Recommended article: Identification and estimation of non-Gaussian structural vector autoregressions
description: scientific article; zbMATH DE number 5898228