A test statistic for graphical modelling of multivariate time series

Yasumasa Matsuda

Biometrika, 2006, vol. 93, issue 2, 399-409

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.

Date: 2006
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