Granger-causality inference in the presence of gaps: an equidistant missing-data problem for non-synchronous recorded time series data

DOI10.1016/J.PHYSA.2019.01.002MaRDI QIDQ2158946zbMATH OpenOpenAlexWikidataFDO

Authors Heba Elsegai

Publication date 26 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.01.002

zbMATH Keywords

DPCnon-synchronous recordingstock market interconnectivitytime series with missing segmentstime shifting techniqueVAR model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Economic processes involving feedback
• Graphical interaction models for multivariate time series.
• Graphical modeling of dynamic relationships in multivariate time series
• Graphical models of autoregressive processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Practical implementation of nonlinear time series methods: The TISEAN package
• Surrogate time series.
• Testing for nonlinearity in time series: the method of surrogate data
• Uncovering delayed patterns in noisy and irregularly sampled time series: an astronomy application

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