Showing 1 - 4 of 4
A common procedure when combining two multivariate unbiased estimates (or forecasts) is the covariance adjustment technique (CAT). Here the optimal combination weights depend on the covariance structure of the estimators. In practical applications, however, this covariance structure is hardly...
Persistent link: https://www.econbiz.de/10009789905
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...
Persistent link: https://www.econbiz.de/10010476999
Persistent link: https://www.econbiz.de/10001788629
Persistent link: https://www.econbiz.de/10014329798