Modeling Changing Graphical Structure
Автор: Fengjing Cai, Yuan Li
Журнал: International Journal of Engineering and Manufacturing(IJEM) @ijem
Статья в выпуске: 2 vol.2, 2012 года.
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We introduce the graphical models to describe the changing dependency structure between multivariate time series and design the algorithm by the markov chain monte carlo method. The model is applied to the stock market of Shanghai in China to study the changing correlation of five segments of the market, empirical results show that there is stronger dependency structure in the bear market and weaker correlation in the bull market.
Graphical model, Time-Varying, Bayes
Короткий адрес: https://sciup.org/15014298
IDR: 15014298
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