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math.ST2024★ 1 cited
Partial correlation graphs for continuous-parameter time series
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-sq…
math.ST2023
Mixed orthogonality graphs for continuous-time stationary processes
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we introduce different concepts of Granger causality and contemporaneous correlation for multivariate stationary continuous-time processes to model different depende…