Decomposability and selection of graphical models for multivariate time series

Roland Fried

Biometrika, 2003, vol. 90, issue 2, 251-267

Abstract: We derive conditions for decomposition and collapsibility of graphical interaction models for multivariate time series. These properties enable us to perform stepwise model selection under certain restrictions. For illustration, we apply the results to a multivariate time series describing the haemodynamic system as monitored in intensive care. Copyright Biometrika Trust 2003, Oxford University Press.

Date: 2003
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