Latent variable analysis and partial correlation graphs for multivariate time series

Roland Fried and Vanessa Didelez

Statistics & Probability Letters, 2005, vol. 73, issue 3, 287-296

Abstract: We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between a factor model and the structure among the observable variables.

Keywords: Time; series; analysis; Dimension; reduction; Factor; analysis; Partial; correlations (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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