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Assessing causality from multivariate time series
Physical Review E, 2005In this work we propose a general nonparametric test of causality for weakly dependent time series. More precisely, we study the problem of attribution, i.e., the proper comparison of the relative influence that two or more external dynamics trigger on a given system of interest.
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Locally Adaptive Bayesian Multivariate Time Series [PDF]
, 2013 In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If such locally adaptive smoothness is not accounted for, one can obtain misleading inferences and predictions, with ...
DURANTE, DANIELE +2 more
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Multivariate Time Series Analysis
2023Patrick Woitschig, Wolfgang Karl Härdle
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Multivariate Time Series Models
2000The univariate time series methods and models described in Chapter 3 are based on one time series containing observations on the exchange rate to be forecast over a particular period of time. This chapter deals with multivariate time series models which, as the name implies, involve more than one time series.
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Modeling multivariate time series
Η μελέτη των χρονοσειρών αποτελεί αντικείμενο έρευνας τα τελευταία χρόνια ειδικά των διακριτών μοντέλων με ετεροσκεδαστικότητα. Ενώ υπάρχουν πολλές μελέτες στην μονοδιάστατη περίπτωση , στην πολυδιάστατη η βιβλιογραφία είναι περιορισμένη. Ο λόγος για το παραπάνω είναι ότι υπάρχουν αρκετές δυσκολίες στην δομή και την ανάλυση πολυμεταβλητών μοντέλων ...openaire +1 more source
Forecasting multivariate time series
International Journal of Forecasting, 2015George Athanasopoulos, Farshid Vahid
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