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提出了新的基于体制转换模型的图模型方法.首先给出精度矩阵参数化方法,且通过MCMC方法给出算法设计,然后将该图模型方法应用于我国上海证券市场,研究五大行业板块之间的动态条件相关性.实证结果表明:两状态图结构恰好体现高、低不同的条件相关性,且状态持续的概率较大.
A new graph model method based on the system transformation model is proposed.Firstly, the parameterization method of the accuracy matrix is given, and the algorithm design is given by the MCMC method, then the graph model method is applied to Shanghai Stock Market in China to study the relationship between the five industry sectors The empirical results show that the structure of two state diagrams embodies the conditional correlation of high and low, and the probability of continuous state is larger.