Decomposability and selection of graphical models for multivariate time series
多元时间序列图模型的可分解性与模型选择
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.