Causal Vector Autoregression Enhanced with Covariance and Order Selection

Causal Vector Autoregression Enhanced with Covariance and Order Selection

A causal vector autoregressive (CVAR) model is introduced for weakly stationary multivariate processes, combining a recursive directed graphical model for the contemporaneous components and a vector autoregressive model longitudinally. Block Cholesky decomposition with varying block sizes is used to...

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Bibliographic Details
Main Authors: Marianna Bolla, Dongze Ye, Haoyu Wang, Renyuan Ma, Valentin Frappier, William Thompson, Catherine Donner, Máté Baranyi, Fatma Abdelkhalek
Format: Article
Language:English
Published: MDPI AG 2023-02-01
Series:Econometrics
Subjects:
structural vector autoregression
causality along a DAG
block Cholesky decomposition
covariance selection
order selection
Online Access:https://www.mdpi.com/2225-1146/11/1/7

Internet

https://www.mdpi.com/2225-1146/11/1/7

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