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Published byClarissa Arnold Modified over 9 years ago
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Gehlavij Mohammadi 2014
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Basic definition Graphical models for multivariate time series Theory from TSC graph to causality graph Degrees of causality Experiments
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Where,
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Time series chain graph Granger causality
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Time series chain graph
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TSC-graph for a Vector autoregressive process
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Granger causality graph
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As an example for theory 2.1, we consider the five-dimensional VAR(2)-process with parameters
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Corresponding TSC-graph for the VAR process
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Corresponding causality graph
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Weighted causality graph
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Methodology Data Finding intervals of analysis with regression tree Fitting VAR model Construct Tsc-graph Obtain causality graph from Tsc-graph
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Basic example Data (Japan(Nikkei2250, UK(FTSE100), USA(S & P500)) Finding intervals of analysis with regression tree
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Basic example Finding intervals of analysis with regression tree
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Basic example Fitting VAR model N225FTSESP500N225_1FTSE_1SP500_1N225_2FTSE_2SP500_2N225_3FTSE_3SP500_3N225011011100100 FTSE101011011111 SP500110011001101
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Basic example Construct Tsc-graph
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Basic example Obtain weighted causality graph from Tsc-graph
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Main example Data (Brazil(BVSP), Mexico(MXX), India(BSESN), Indonesia(JKSE), Taiwan(TWII), Germany(GDAXI), Spain(IBEX), UK(FTSE), USA(GSPC), Japan(N225), China(HSCE) )
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Main example Finding intervals of analysis with regression tree With respect to VLIC and Euro stock indices
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Main example Finding intervals of analysis with regression tree
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Main example Fitting VAR model Construct Tsc-graph Obtain causality graph from Tsc-graph
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Main example
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