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

Causal relationship analysis of high⁃dimensional time series based on quantile factor model

Huiling Liang, Hui Liu, Liwei Liu, Jia Zhao, Huaijun Ruan

表1 VAR5(5)的100次蒙特卡洛实验中因果关系结果的频率

Table 1 The frequency of causality results in 100 Monte Carlo implementations of VAR5(5)

方法 CGC PMIME PCA⁃CGC mBTS⁃CGC QFM⁃CGC X1→X2 98% 1% 0 0 0 X1→X3 99% 95% 100% 94% 99% X2→X1 98% 99% 40% 72% 99% X2→X3 0 4% 0 0 0 X2→X4 100% 98% 50% 98% 100% X3→X1 0 8% 0 0 0 X3→X2 0 1% 0 0 0 X3→X5 3% 86% 43% 96% 100% X4→X1 0 4% 0 0 0 X4→X2 0 1% 0 0 0 X4→X3 0 2% 0 0 0 X4→X5 100% 97% 26% 100% 99% X5→X1 0 2% 0 0 0 X5→X2 100% 99% 18% 100% 99% X5→X3 0 1% 0 0 0