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A test statistic for graphical modelling of multivariate time series

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  • Yasumasa Matsuda

Abstract

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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  • Yasumasa Matsuda, 2006. "A test statistic for graphical modelling of multivariate time series," Biometrika, Biometrika Trust, vol. 93(2), pages 399-409, June.
    • Handle: RePEc:oup:biomet:v:93:y:2006:i:2:p:399-409
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    File URL: http://hdl.handle.net/10.1093/biomet/93.2.399
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    Cited by:

    1. Dallakyan, Aramayis & Kim, Rakheon & Pourahmadi, Mohsen, 2022. "Time series graphical lasso and sparse VAR estimation," Computational Statistics & Data Analysis, Elsevier, vol. 176(C).

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