Choosing the optimal model parameters for Granger causality in application to time series with main timescale

DOI10.1016/J.CHAOS.2015.10.027zbMath1355.37095OpenAlexW2198349019MaRDI QIDQ508875

Tatiana M. Medvedeva, Maksim V. Kornilov, Ilya V. Sysoev, Boris P. Bezruchko

Publication date: 8 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2015.10.027

zbMATH Keywords

time seriesGranger causalitycoupling identification

Mathematics Subject Classification ID

Nonlinear oscillations and coupled oscillators for ordinary differential equations (34C15) Time series analysis of dynamical systems (37M10) Simulation of dynamical systems (37M05)

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Cites Work

• Comparison of linear signal processing techniques to infer directed interactions in multivariate neural systems
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• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
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• An equation for continuous chaos
• Analyzing multiple nonlinear time series with extended Granger causality
• TESTING FOR PHASE SYNCHRONIZATION
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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