We derive conditions for decomposition and collapsibility of graphical interaction models for multivariate time series. These properties enable us to perform stepwise model selection under certain restrictions. For illustration, we apply the results to a multivariate time series describing the...

In critical care extremely high dimensional time series are generated by clinical information systems. This yields new perspectives of data recording and also causes a new challenge for statistical methodology. Recently graphical correlation models have been developed for analysing the partial...