We propose NonStGGM, a general nonparametric graphical modeling framework for studying dynamic associations among the components of a nonstationary multivariate time series. It builds on the framework of Gaussian Graphical Models (GGM) and stationary time series Gaussian Graphical model (StGGM), and complements existing works on parametric graphical models based on change point vector autoregressions (VAR). Analogous to StGGM, the proposed framework captures conditional noncorrelations (both intertemporal and contemporaneous) in the form of an undirected graph. In addition, to describe the more nuanced nonstationary relationships among the components of the time series, we introduce the new notion of conditional nonstationarity/stationarity and incorporate it within the graph architecture. This allows one to distinguish between direct and indirect nonstationary relationships among system components, and can be used to search for small subnetworks that serve as the "source" of nonstationarity in a large system. Together, the two concepts of conditional noncorrelation and nonstationarity/stationarity provide a parsimonious description of the dependence structure of the time series.
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