Graphical models for nonstationary time series
Graphical models for nonstationary time series
We propose NonStGM, a general nonparametric graphical modeling framework, for studying dynamic associations among the components of a nonstationary multivariate time series. It builds on the framework of Gaussian graphical models (GGM) and stationary time series graphical models (StGM) and complements existing works on parametric graphical models based on change …