Granger causality detecting based on graphical modelling

DOI10.3969/J.ISSN.1005-3085.2016.03.005MaRDI QIDQ3180037zbMATH OpenFDO

Authors Yuesong Wei

Publication date 6 January 2017

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2016.03.005

zbMATH Keywords

conditional mutual informationcorrelation integralGranger causality graphslimiting distributionstock markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Learning dynamic causal relationships among sugar prices
• The effect of increase of the Granger causality method sensitivity with rise of a measurement noise
• Learning of multivariate time series Granger causality based on graphical model methods
• Identification and application of Granger causality graphs of vector autoregressive models using conditional mutual information
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• Graphical Lasso Granger method with 2-levels-thresholding for recovering causality networks
• scientific article; zbMATH DE number 6671393 (Why is no real title available?)
• Lasso Granger causal models: some strategies and their efficiency for gene expression regulatory networks
• Diverse causality inference in foreign exchange markets
• Granger causality for circular variables

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