Graphical models for multivariate Markov chains

R. Colombi and S. Giordano

Journal of Multivariate Analysis, 2012, vol. 107, issue C, 90-103

Abstract: The aim of this paper is to provide a graphical representation of the dynamic relations among the marginal processes of a first order multivariate Markov chain. We show how to read Granger-noncausal and contemporaneous independence relations off a particular type of mixed graph, when directed and bi-directed edges are missing. Insights are also provided into the Markov properties with respect to a graph that are retained under marginalization of a multivariate chain. Multivariate logistic models for transition probabilities are associated with the mixed graphs encoding the relevant independencies. Finally, an application on real data illustrates the methodology.

Keywords: Granger noncausality; Conditional independence; Generalized marginal interactions (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2012.01.010

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