Analyzing multiple nonlinear time series with extended Granger causality

DOI10.1016/J.PHYSLETA.2004.02.032zbMath1123.62316arXivnlin/0405016OpenAlexW2130535167WikidataQ62862166 ScholiaQ62862166MaRDI QIDQ2462773

Yonghong Chen, Govindan Rangarajan, Mingzhou Ding, Jian-Feng Feng

Publication date: 4 December 2007

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/nlin/0405016

zbMATH Keywords

nonlinear time seriesGranger causalityvector autoregressive modelsdelay embedding reconstructionextended Granger causality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Time series analysis of dynamical systems (37M10)

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• A robust method for detecting interdependences: Application to intracranially recorded EEG

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