Bayesian learning of graphical vector autoregressions with unequal lag-lengths

摘要

Graphical modelling strategies have been recently discovered as a versatile tool for analyzing multivariate stochastic processes. Vector autoregressive processes can be structurally represented by mixed graphs having both directed and undirected edges between the variables representing process components. To allow for more expressive vector autoregressive structures, we consider models with separate time dynamics for each directed edge and non-decomposable graph topologies for the undirected part of the mixed graph.