Analyzing associations in multivariate binary time series

Roland Fried; Silvia Kuhls; Isabel Molina

We analyze multivariate binary time series using a mixed parameterization in terms of the conditional expectations given the past and the pairwise canonical interactions among contemporaneous variables. This allows consistent inference on the influence of past variables even if the contemporaneous associations are misspecified. Particularly, we can detect and test Granger non-causalities since they correspond to zero parameter values.

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Year of publication:	2006
Other Persons:	Fried, Roland (contributor) ; Kuhls, Silvia (contributor) ; Molina, Isabel (contributor)
Publisher:	Dortmund : Univ., SFB 475
Subject:	Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Multivariate Analyse \| Multivariate analysis \| Markov-Kette \| Markov chain

Extent:	Online-Ressource, 13 S., Text
Series:	Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund. - Dortmund : [Verlag nicht ermittelbar], ZDB-ID 2148058-8. - Vol. 2006,18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader Systemvoraussetzungen: PostScript
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003354433