Simulation study of direct causality measures in multivariate time series
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Publication:280447
DOI10.3390/E15072635zbMATH Open1336.62153OpenAlexW2152112426MaRDI QIDQ280447FDOQ280447
Dimitris Kugiumtzis, Cees Diks, Catherine Kyrtsou, Angeliki Papana
Publication date: 10 May 2016
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/e15072635
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
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- Partial directed coherence: a new concept in neural structure determination
- Coarse-grained entropy rates for characterization of complex time series
- Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
- Short and long run causality measures: theory and inference
- Graphical modelling of multivariate time series
- DETECTION OF DIRECT CAUSAL EFFECTS AND APPLICATION TO EPILEPTIC ELECTROENCEPHALOGRAM ANALYSIS
- A distribution free plotting position
- A new method of the description of the information flow in the brain structures
Cited In (11)
- A Fast Method for Detecting Interdependence between Time Series and Its Directionality
- Title not available (Why is that?)
- A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series
- Detecting direct causality in multivariate time series: a comparative study
- Measuring information transfer by dispersion transfer entropy
- Shortcomings of Transfer Entropy and Partial Transfer Entropy: Extending Them to Escape the Curse of Dimensionality
- Assessing directionality and strength of coupling through symbolic analysis: an application to epilepsy patients
- On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
- Elimination of third-series effect and defining partial measures of causality
- Evaluation of connectivity estimates using spiking neuronal network models
- Causality indices for bivariate time series data: a comparative review of performance
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