Abstract
We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series with non-linear dependences. The models are derived from ordinary time series models by imposing constraints that are encoded by mixed graphs. In these graphs each component series is represented by a single vertex and directed edges indicate possible Granger-causal relationships between variables while undirected edges are used to map the contemporaneous dependence structure. We introduce various notions of Granger-causal Markov properties and discuss the relationships among them and to other Markov properties that can be applied in this context. Examples for graphical time series models include nonlinear autoregressive models and multivariate ARCH models.
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The author would like to thank two anonymous referees for their comments and suggestions, which greatly improved the paper.
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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.
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Eichler, M. Graphical modelling of multivariate time series. Probab. Theory Relat. Fields 153, 233–268 (2012). https://doi.org/10.1007/s00440-011-0345-8
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DOI: https://doi.org/10.1007/s00440-011-0345-8