Arbeitspapier
Latent variable analysis and partial correlation graphs for multivariate time series
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between a factor model and the structure among the observable variables.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2003,06
- Subject
-
Time series analysis
Dimension reduction
Factor analysis
Partial correlations
Multivariate Analyse
Zeitreihenanalyse
Theorie
Korrelation
- Event
-
Geistige Schöpfung
- (who)
-
Fried, Roland
Didelez, Vanessa
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fried, Roland
- Didelez, Vanessa
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2003
Other Objects (12)
Latent variable analysis and partial correlation graphs for multivariate time series
Latent variable path modeling with partial least squares
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Multivariate characteristic and correlation functions
Multivariate medial correlation with applications
Dynamic Partial Correlation Models
Partial correlation financial networks
Recovering latent variables by matching
Normality tests for latent variables
Longitudinal research with latent variables
Nichtparametrische Kurvenschätzung für latente Variablen
Modeling frailty correlated defaults with multivariate latent factors
Latent variable analysis and partial correlation graphs for multivariate time series
Latent variable path modeling with partial least squares
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Multivariate characteristic and correlation functions
Multivariate medial correlation with applications
Dynamic Partial Correlation Models
Partial correlation financial networks
Recovering latent variables by matching
Normality tests for latent variables
Longitudinal research with latent variables
Nichtparametrische Kurvenschätzung für latente Variablen
Modeling frailty correlated defaults with multivariate latent factors
Latent variable analysis and partial correlation graphs for multivariate time series
Latent variable path modeling with partial least squares
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Multivariate characteristic and correlation functions
Multivariate medial correlation with applications
Dynamic Partial Correlation Models
Partial correlation financial networks
Recovering latent variables by matching
Normality tests for latent variables
Longitudinal research with latent variables
Nichtparametrische Kurvenschätzung für latente Variablen