Modified Granger causality in selected neighborhoods

DOI10.1007/978-3-030-26036-1_3zbMATH Open1434.62148OpenAlexW2980456794MaRDI QIDQ2180396FDOQ2180396

Authors Martina Chvosteková

Publication date 14 May 2020

Full work available at URL https://doi.org/10.1007/978-3-030-26036-1_3

zbMATH Keywords

linear regression modelprediction errorGranger causalitytime-delay embedding reconstruction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(11)

• Granger type causality for nonlinear data
• Detecting changes in coupling with Granger causality method from time series with fast transient processes
• Selecting time scales for empirical model construction
• Using causal discovery for feature selection in multivariate numerical time series
• Simulation study of direct causality measures in multivariate time series
• Sparse causality network retrieval from short time series
• Influence of the choice of the model structure for working capacity of nonlinear Granger causality approach
• Equivalence of Granger causality and transfer entropy: a generalization
• Analyzing multiple nonlinear time series with extended Granger causality
• Choosing the optimal model parameters for Granger causality in application to time series with main timescale
• A nonparametric causality test: detection of direct causal effects in multivariate systems using corrected partial transfer entropy

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