基于分位数因子模型的高维时间序列因果关系分析
Causal relationship analysis of high⁃dimensional time series based on quantile factor model
基于分位数因子模型的高维时间序列因果关系分析 |
| 梁慧玲, 刘慧, 刘力维, 赵佳, 阮怀军 |
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Causal relationship analysis of high⁃dimensional time series based on quantile factor model |
| Huiling Liang, Hui Liu, Liwei Liu, Jia Zhao, Huaijun Ruan |
| 图1 VAR5(5)真实因果关系(黑色表示存在因果关系) |
| Fig.1 The real causality diagram of VAR5(5) (Black indicates causality) |
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