Dynamic staged trees for discrete multivariate time series: forecasting, model selection and causal analysis
Authors:
- Guy FreemanGFGuy Freeman
- Jim Q. SmithJSJim Q. Smith
Open Access
- 1 June 2011
- journal article
- research article
- Published by Institute of Mathematical Statistics in Bayesian Analysis
- Vol. 6 (2) , 279-305
Abstract
A new tree-based graphical model --- the dynamic staged tree --- is proposed for modelling discrete-valued discrete-time multivariate processes which are hypothesised to exhibit symmetries in how some intermediate situations might unfold. We define and implement a one-step-ahead prediction algorithm with the model using multi-process modelling and the power steady model that is robust to short-term variations in the data yet sensitive to underlying system changes. We demonstrate that the whole analysis can be performed in a conjugate way so that the potentially vast model space can be traversed quickly and then results communicated transparently. We also demonstrate how to analyse a general set of causal hypotheses on this model class. Our techniques are illustrated using a simple educational example.Keywords
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