| 多维时间序列Granger因果图Markov性 |
| |
| 引用本文： | 魏岳嵩.多维时间序列Granger因果图Markov性[J].淮北煤炭师范学院学报(自然科学版),2014(3):6-9. |
| |
| 作者姓名： | 魏岳嵩 |
| |
| 作者单位： | 淮北师范大学 数学科学学院,安徽 淮北,235000 |
| |
| 摘 要： | 文章利用Granger因果图表示多维时间变量序列间的因果关系,图中的顶点集由序列的各个分量组成,顶点间的有向边表示分量序列间的Granger因果关系,无向边表示分量间的同期因果关系.建立Granger因果图的p-分离准则,研究Granger因果图的Markov性.
|
| 关 键 词： | Granger因果图 多维时间序列 p-分离准则 Markov性 |
Markov Properties of Multivariate Time Series Granger Causality Graphs |
| |
| WEI Yue-song.Markov Properties of Multivariate Time Series Granger Causality Graphs[J].Journal of Huaibei Coal Industry Teachers College(Natural Science edition),2014(3):6-9. |
| |
| Authors: | WEI Yue-song |
| |
| Institution: | WEI Yue-song (School of Mathematical Sciences,Huaibei Normal University, 235000, Huaibei ,Anhui, China) |
| |
| Abstract: | In this paper,we use Granger causality graphs to present the causal relationships of sequence of variables of multivariate time series. In the graphs,the component series constitute the vertex set,while the di-rected edges denote the Granger causality relationships and undirected edges correspond to contemporaneous causality relationships. We construct the p-separated criterion and discuss the Markov properties of Grang-er causality graphs. |
| |
| Keywords: | Granger causality graph multivariate time series p-separated criterion Markov properties |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
