Modeling Changing Graphical Structure | Zendy

Fengjing Cai | Zendy; Yuan Li | Zendy

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Modeling Changing Graphical Structure

Author(s) -

Fengjing Cai,

Yuan Li

Publication year - 2012

Publication title -

international journal of engineering and manufacturing

Language(s) - English

Resource type - Journals

eISSN - 2306-5982

pISSN - 2305-3631

DOI - 10.5815/ijem.2012.02.08

Subject(s) - dependency (uml) , markov chain monte carlo , graphical model , multivariate statistics , econometrics , markov chain , stock market , monte carlo method , computer science , mathematics , statistics , artificial intelligence , geography , context (archaeology) , archaeology

We introduce the graphical models to describe the changing dependency structure between multivariate time series and design the algorithm by the markov chain monte carlo method. The model is applied to the stock market of Shanghai in China to study the changing correlation of five segments of the market, empirical results show that there is stronger dependency structure in the bear market and weaker correlation in the bull market.

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