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Business Analytics

Graphical modelling representation of multivariate time series

Dr Marco Reale, University of Canterbury

30th Mar 2012  11:00 am - Room 498, Merewether Building (H04)

Graphical modelling is very effective for identification and estimation of sparse structural multivariate time series model. After an introduction to graphical modelling and some of its useful properties there will be a discussion of the issues pertaining the identification of sparse structural vector autoregressions and how graphical modelling can assist. Extensions will be presented to I(1) time series and structural vector autoregression moving average models.