%0 Journal Article
%T Identification of Structure VAR Models Using Conditional Mutual Information Graphs<br>结构VAR模型辨识的条件互信息图模型
%A GAO Wei
%A TIAN Zheng
%A <br>高 伟
%A 田 铮
%J 系统工程理论与实践
%D 2007
%I 
%X A class graphical models,called linear conditional mutual information graph,is proposed for identification structural vector autoregression model.The vertex set denotes random variables at different times,and the directed edges denote causal dependence between the variables.The presence of the edges is tested by a statistics based on linear conditional mutual information.The permutation procedure is used to determine the significance of the test statistics.The direction of the relationships of the current variables is determined by a statistical method and lead to directed acyclic graph.The method is demonstrated by simulation time series with different dependence structures and error distribution.
%K structural vector autoregression model
%K graphical model
%K directed acyclic graph
%K mutual information
%K linear conditional mutual information graph<br>结构向量自回归模型
%K 图模型
%K 有向非循环图
%K 互信息
%K 线性条件互信息图
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=560BA81023F7068A&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=38B194292C032A66&sid=C753EB8AC8F551B9&eid=C3BF5C58156BEDF0&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=10