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Alcune indipendenze condizionali nelle serie storiche categoriali bivariate

Author

Listed:
  • Roberto Colombi

    (Dipartimento di Ingegneria dell’informazione e metodi matematici - Università di Bergamo)

  • Sabrina Giordano

    (Dipartimento di Economia e statistica - Università della Calabria)

Abstract

In this work we consider two time series of categorical data as a bivariate Markov chain. The markovianity assumption allows us to simplify some conditional independencies introduced in order to describe if the knowledge of past or present realizations of one of the two categorical variables can provide some additional information to forecast the current realization of the other. The three simple conditions introduced here, though referring only to the recent realizations of the two variables, imply the more general conditions defined by all of the past realizations. Moreover, we show that the proposed conditions are equivalent to the hypothesis of null coefficients in some parametric models for joint transition probabilities. Finally, we represent these conditions in terms of missing edges in chain graphs.

Suggested Citation

  • Roberto Colombi & Sabrina Giordano, 2006. "Alcune indipendenze condizionali nelle serie storiche categoriali bivariate," Statistica, Department of Statistics, University of Bologna, vol. 66(1), pages 19-38.
    • Handle: RePEc:bot:rivsta:v:66:y:2006:i:1:p:19-38
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