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

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