A test statistic for graphical modelling of multivariate time series

A graphical model for multivariate time series is a concept extended by Dahlhaus (2000) from that for a random vector to a multivariate time series. We propose a test statistic for identifying the model based on the Kullback-Leibler divergence between two graphical models. The null distribution is shown to be asymptotically normal with mean and variance which depend just on the dimensions of the graphs. Copyright 2006, Oxford University Press.

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Year of publication:	2006
Authors:	Matsuda, Yasumasa
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 93.2006, 2, p. 399-409
Publisher:	Biometrika Trust

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005569394