| 多维时间序列Granger因果性的一种图模型学习方法 |
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| 引用本文： | 魏岳嵩,田铮.多维时间序列Granger因果性的一种图模型学习方法[J].系统科学与数学,2011,31(5). |
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| 作者姓名： | 魏岳嵩 田铮 |
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| 作者单位： | 西北工业大学应用数学系,西安,710129 |
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| 基金项目： | 国家自然科学基金(60375003,10926197)资助课题 |
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| 摘 要： | 传统的两变量Granger因果分析法容易产生伪因果关系,且不能刻画变量间的同期因果性.利用图模型方法研究多维时间序列变量间Granger因果关系,通过Granger因果图的建立将问题转化为Granger因果图结构的辨识问题,利用局部密度估计法构造相应的辨识统计量,采用bootstrap方法来确定检验统计量的原分布.模拟分析以及对于中国股市间Granger因果关系的研究说明了该方法的有效性.
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| 关 键 词： | 图模型 Granger因果图 多维时间序列 结构辨识 bootstrap方法 |
LEARNING OF MULTIVARIATE TIME SERIES GRANGER CAUSALITY BASED ON GRAPHICAL MODEL METHODS |
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| WEI Yuesong,TIAN Zheng.LEARNING OF MULTIVARIATE TIME SERIES GRANGER CAUSALITY BASED ON GRAPHICAL MODEL METHODS[J].Journal of Systems Science and Mathematical Sciences,2011,31(5). |
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| Authors: | WEI Yuesong TIAN Zheng |
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| Institution: | WEI Yuesong TIAN Zheng (Department of Applied Mathematics,Northwest Polytechnical University,Xi'an 710129) |
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| Abstract: | Traditional two-variable Granger causality analysis method is prone to inducing spurious causal relationship and cannot portray the immediate causal relationship.This paper explores how to use graphical model methods to analyze the Granger causality graphs among components of multivariate time series.Granger causality graphs of time series is presented and the structural identification problem of Granger causality graph is investigated.A statistic based on local density estimator is proposed,and a bootstrap... |
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| Keywords: | Graphical model Granger causality graphs multivariate time series structural identification bootstrap methods |
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