Modeling Changing Graphical Structure

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Fengjing Cai 1,* Yuan Li 2

1. School of Mathematics & Information Science,Wenzhou University, Wenzhou, Zhejiang Province, China

2. School of Mathematics & Information Science,Guangzhou University, Guangzhou,Guangdong Province, China

* Corresponding author.


Received: 23 Dec. 2011 / Revised: 26 Jan. 2012 / Accepted: 29 Feb. 2012 / Published: 6 Apr. 2012

Index Terms

Graphical model, Time-Varying, Bayes


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.

Cite This Paper

Fengjing Cai, Yuan Li,"Modeling Changing Graphical Structure", IJEM, vol.2, no.2, pp.50-57, 2012. DOI: 10.5815/ijem.2012.02.08 


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