Freeman, Guy and Smith, J. Q. (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, Vol.2010 (No.14).

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Abstract

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, Engineering and Medicine > 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
Official Date:	2010
Dates:	Date Event 2010 Published
Volume:	Vol.2010
Number:	No.14
Number of Pages:	22
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

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