Equivalence of Granger causality and transfer entropy: a generalization

zbMATH Open1242.62096MaRDI QIDQ2898623FDOQ2898623

Authors: K. Hlaváčková-Schindler 

Publication date: 11 July 2012

Published in: Applied Mathematical Sciences (Ruse) (Search for Journal in Brave)

Full work available at URL: http://www.m-hikari.com/ams/ams-2011/ams-73-76-2011/index.html

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zbMATH Keywords

generalized Gaussian probability distribution

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cited In (8)

• Multivariate conditional Granger causality analysis for lagged response of soil respiration in a temperate forest
• Statistically validated coeherence and intensity in temporal networks of information flows
• Transfer entropy expressions for a class of non-Gaussian distributions
• Detecting direct causality in multivariate time series: a comparative study
• Causality analysis of large-scale structures in the flow around a wall-mounted square cylinder
• Forecasting systemic risk of China's banking industry by partial differential equations model and complex network
• Shortcomings of transfer entropy and partial transfer entropy: extending them to escape the curse of dimensionality
• On Wiener-Granger causality, information and canonical correlation

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