Abstract
We derive conditions for decomposition and collapsibility of graphical interaction models for multivariate time series.These properties enable us to perform stepwise model selection under certain restrictions. For illustration, we apply the results to a multivariate time series describing the haemodynamic system as monitored in intensive care.
| Translated title of the contribution | Decomposability and selection of graphical models for multivariate time series |
|---|---|
| Original language | English |
| Pages (from-to) | 251 - 267 |
| Number of pages | 17 |
| Journal | Biometrika |
| Volume | 90 (2) |
| DOIs | |
| Publication status | Published - Jun 2003 |