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

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