Aisberg: dal 2009 è l'archivio ad accesso aperto dell'Università di Bergamo; dal 2011 è anche l'anagrafe della ricerca di Ateneo.
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EnglishIn this paper we address the use of graphical models for the analysis of the dynamic relations among the marginal processes of a time-homogeneous first order multivariate Markov chain. We employ a multi edge graph whose nodes represent the univariate marginal processes of the Markov chain and whose directed and bi-directed edges describe the dependence structure among them. The approach, adopted here, enables us to interpret the lack of directed edges as Granger-noncausal relationships (see Chamberlain, 1982) while missing bi-directed edges are used to visualize the contemporaneous independence relations between the marginal processes of the chain.
(2009). Multy Edge Graphs for Multivariate Markov Chains [conference presentation - intervento a convegno]. Retrieved from http://hdl.handle.net/10446/23509
| Titolo: | Multy Edge Graphs for Multivariate Markov Chains |
| Tutti gli autori: | Colombi, Roberto; Giordano, Sabrina |
| Data di pubblicazione: | 2009 |
| Abstract (ita): | In this paper we address the use of graphical models for the analysis of the dynamic relations among the marginal processes of a time-homogeneous first order multivariate Markov chain. We employ a multi edge graph whose nodes represent the univariate marginal processes of the Markov chain and whose directed and bi-directed edges describe the dependence structure among them. The approach, adopted here, enables us to interpret the lack of directed edges as Granger-noncausal relationships (see Chamberlain, 1982) while missing bi-directed edges are used to visualize the contemporaneous independence relations between the marginal processes of the chain. |
| Nelle collezioni: | 1.4.01 Contributi in atti di convegno - Conference presentations |
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