Authors: | Fried, Roland Kuhls, Silvia Molina, Isabel |
Title: | Analyzing associations in multivariate binary time series |
Language (ISO): | en |
Abstract: | We analyze multivariate binary time series using a mixed parameterization in terms of the conditional expectations given the past and the pairwise canonical interactions among contemporaneous variables. This allows consistent inference on the influence of past variables even if the contemporaneous associations are misspecified. Particularly, we can detect and test Granger non-causalities since they correspond to zero parameter values. |
Subject Headings: | Canonical interaction Granger non-causalities Mixed parameterization Zero parameter values |
URI: | http://hdl.handle.net/2003/22242 http://dx.doi.org/10.17877/DE290R-14323 |
Issue Date: | 2006-03-16T14:35:47Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr18-06.ps | 217.53 kB | Postscript | View/Open | |
tr18-06.pdf | DNB | 101.41 kB | Adobe PDF | View/Open |
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