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连续时间平稳过程的混合正交图AI 解读

In this paper, we introduce different concepts of Granger causality and contemporaneous correlation for multivariate stationary continuous-time processes to model different dependencies between the component processes. Several equivalent characterisations are given for the different definitions, in particular by orthogonal projections. We then define two mixed graphs based on different definitions of Granger causality and contemporaneous correlation, the (mixed)…

连续参数时间序列的偏相关图AI 解读

In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-square continuous with expectation zero and spectral density function. In the partial correlation graph, the vertices are the components of the process and the undirected edges represent partial correlations between the vertices. To define this graph, we therefore first introduce the partial…