Multivariate Granger causality: an estimation framework based on factorization of the spectral density matrix

DOI10.1098/rsta.2011.0610zbMath1353.92062OpenAlexW2058473196WikidataQ37677870 ScholiaQ37677870MaRDI QIDQ2955521

Xiaotong Wen, Mingzhou Ding, Govindan Rangarajan

Publication date: 13 January 2017

Published in: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.2011.0610

zbMATH Keywords

Granger causalityspectral density matrixautoregressive model fitting process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) General biostatistics (92B15) Inference from stochastic processes and spectral analysis (62M15) Biomedical imaging and signal processing (92C55) Paired and multiple comparisons; multiple testing (62J15)

Related Items (2)

Assessing causality in brain dynamics and cardiovascular control ⋮ Quantitative results on continuity of the spectral factorization mapping

Cites Work

• Partial directed coherence: a new concept in neural structure determination
• Evaluating causal relations in neural systems: Granger causality, directed transfer function and statistical assessment of significance
• A unified view of multitaper multivariate spectral estimation
• Stochastic modeling of neurobiological time series: Power, coherence, Granger causality, and separation of evoked responses from ongoing activity
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• The Factorization of Matricial Spectral Densities

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