Identification and application of Granger causality graphs of vector autoregressive models using conditional mutual information

MaRDI QIDQ2887576zbMATH OpenFDO

Authors Yuesong Wei, Zheng Tian, Zhanshou Chen

Publication date 1 June 2012

Published in Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

multivariate time seriespermutation testscorrelation integrals

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45)

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(17)

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• scientific article; zbMATH DE number 7644904 (Why is no real title available?)
• Representing conditional Granger causality by vector auto-regressive parameters
• Conditional independence graph for nonlinear time series and its application to international financial markets
• Granger causality analysis of human cell-cycle gene expression profiles
• The estimation of parameters for a complex time series Granger causal model
• Identification of structural vector autoregressive causal graphical models by information theory criteria
• Directed information graphs for the Granger causality of multivariate time series
• Learning of multivariate time series Granger causality based on graphical model methods
• Analyzing multiple nonlinear time series with extended Granger causality
• On Wiener-Granger causality, information and canonical correlation
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• scientific article; zbMATH DE number 6671393 (Why is no real title available?)

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