Estimating the efficiency of the Granger causality method for detecting unidirectional coupling in the presence of common low frequency interference

DOI10.20537/ND1703004MaRDI QIDQ4595705zbMATH OpenOpenAlexFDO

Authors Maksim V. Kornilov, I. V. Sysoev

Publication date 6 December 2017

Published in Nelineinaya Dinamika (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NoDerivs 4.0 International

Full work available at URL http://mathnet.ru/eng/nd570

zbMATH Keywords

time seriesGranger causalitycoupling analysislow frequency interference

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10)

Recommendations

• The effect of increase of the Granger causality method sensitivity with rise of a measurement noise
• Effect of rare sampling on estimation of directional couplings from time series
• Detecting changes in coupling with Granger causality method from time series with fast transient processes
• Influence of the choice of the model structure for working capacity of nonlinear Granger causality approach
• Choosing the optimal model parameters for Granger causality in application to time series with main timescale

Cited in

(2)

• Effect of rare sampling on estimation of directional couplings from time series
• The effect of increase of the Granger causality method sensitivity with rise of a measurement noise

This page was built for publication: Estimating the efficiency of the Granger causality method for detecting unidirectional coupling in the presence of common low frequency interference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595705)