Trimmed Granger causality between two groups of time series
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Publication:470487
DOI10.1214/14-EJS940zbMath1302.62196OpenAlexW2088441242MaRDI QIDQ470487
Ying-Chao Hung, Neng-Fang Tseng, Narayanaswamy Balakrishnan
Publication date: 12 November 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1414588183
Granger causalitymultivariate time seriesmultiple hypothesis testingvector autoregressive processLasso-penalized VAR approachWald test with constrained parameter spaces
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30)
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