Dynamic staged trees for discrete multivariate time series : forecasting, model selection and causal analysis
Freeman, Guy and Smith, J. Q., 1953- (2010) Dynamic staged trees for discrete multivariate time series : forecasting, model selection and causal analysis. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).
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A new tree-based graphical model — the dynamic staged tree — is used to model discrete-valued discrete-time multivariate processes which are hypothesised to exhibit certain symmetries concerning how situations might unfold. We define and implement a one-step-ahead prediction algorithm using multi-process modelling and the power steady model. This is robust to short-term variations in the data yet sensitive to underlying system changes. We demonstrate that the whole analysis can be performed in a conjugate way so that the vast model space can be traversed quickly and results communicated transparently. We also demonstrate how to analyse causal hypotheses on this model class. Our techniques are illustrated using a simple educational example.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Science > Statistics|
|Library of Congress Subject Headings (LCSH):||Time-series analysis, Graphical modeling (Statistics), Trees (Graph theory)|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||22|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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