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Title:Latent variable analysis and partial correlation graphs for multivariate time series PDF Logo
Authors:Fried, Roland
Didelez, Vanessa
Issue Date: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
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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