Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/49370
Authors: 
Fried, Roland
Didelez, Vanessa
Year of Publication: 
2003
Series/Report no.: 
Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,06
Abstract: 
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between a factor model and the structure among the observable variables.
Subjects: 
Time series analysis
Dimension reduction
Factor analysis
Partial correlations
Document Type: 
Working Paper

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