Latent variable analysis and partial correlation graphs for multivariate time series

Roland Fried and Vanessa Didelez

No 2003,06, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200306

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