Directed information graphs for the Granger causality of multivariate time series

DOI10.1016/J.PHYSA.2017.05.035MaRDI QIDQ2146843zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 21 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.05.035

zbMATH Keywords

multivariate time seriesgraphical modelGranger causalitydirected information

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90)

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• Causal conditioning and instantaneous coupling in causality graphs
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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• A class of Rényi information estimators for multidimensional densities
• Causal conditioning and instantaneous coupling in causality graphs
• Directed Information Graphs
• Estimating the directed information to infer causal relationships in ensemble neural spike train recordings
• Graphical interaction models for multivariate time series.
• Graphical modelling of multivariate time series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• The relation between Granger causality and directed information theory: a review

Cited in

(10)

• Granger causality and path diagrams for multivariate time series
• Granger causality detecting based on graphical modelling
• Causal conditioning and instantaneous coupling in causality graphs
• Identification and application of Granger causality graphs of vector autoregressive models using conditional mutual information
• Learning of multivariate time series Granger causality based on graphical model methods
• Modified Granger causality in selected neighborhoods
• Causal inference from time series: what can be learned from Granger causality
• Graphs for Dependence and Causality in Multivariate Time Series
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• On directed information theory and Granger causality graphs

Describes a project that uses

Uses Software

• bootstrap

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