A test statistic for graphical modelling of multivariate time series
成果类型：
Article
署名作者：
Matsuda, Yasumasa
署名单位：
Tohoku University
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/93.2.399
发表日期：
2006
页码：
399409
关键词：
摘要：
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.