137 citations · 346 across the 10 of their papers we have counts for
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math.ST2006★ 137 cited
Graphical modelling of multivariate time series
Michael Eichler
We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of st…
math.ST2006★ 39 cited
Computing maximum likelihood estimates in recursive linear models with correlated errors
Mathias Drton, Michael Eichler, Thomas S. Richardson
In recursive linear models, the multivariate normal joint distribution of all variables exhibits a dependence structure induced by a recursive (or acyclic) system of linear structu…