Trimmed Granger causality between two groups of time series

DOI10.1214/14-EJS940zbMATH Open1302.62196OpenAlexW2088441242MaRDI QIDQ470487FDOQ470487

Authors: 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

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zbMATH Keywords

multiple hypothesis testingmultivariate time seriesGranger causalityvector autoregressive processLasso-penalized VAR approachWald test with constrained parameter spaces

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30)

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Cited In (2)

• ICA based identification of time-varying linear causal model
• Extracting informative variables in the validation of two-group causal relationship

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