Constructs the global or contemporaneous conditional independence graph (CIG) of the VAR(1) model, as implied by the partial correlations.
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sparseA |
A |
sparseP |
Precision |
type |
A |
Wessel N. van Wieringen <w.vanwieringen@vumc.nl>
Dahlhaus (2000), "Graphical interaction models for multivariate time series", Metrika, 51, 157-172.
Dahlhaus, Eichler (2003), "Causality and graphical models in time series analysis", Oxford Statistical Science Series, 115-137.
Miok, V., Wilting, S.M., Van Wieringen, W.N. (2016), "Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data", Biometrical Journal, accepted.
graphVAR1
, sparsify
, sparsifyVAR1
.
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