Granger causality and contiguity between stochastic processes

DOI10.1016/J.PHYSLETA.2006.10.024MaRDI QIDQ601417zbMATH OpenOpenAlexFDO

Authors Umberto Triacca

Publication date 28 October 2010

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2006.10.024

zbMATH Keywords

causalitycontiguitydistanceHilbert spacestime series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

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Cites work

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• Evaluating causal relations in neural systems: Granger causality, directed transfer function and statistical assessment of significance
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Non-causality: The role of the omitted variables
• Redundancies in the Earth's climatological time series
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Unit Roots, Cointegration, and Structural Change

Cited in

(9)

• Granger causality between vectors of time series: a puzzling property
• Geometric and long run aspects of Granger causality
• Spurious Granger causalities in integrated autoregressive moving average processes
• Granger causality and the sampling of economic processes
• Granger causality
• Granger causality and stopping times
• Trimmed Granger causality between two groups of time series
• Granger causality for circular variables
• On Wiener-Granger causality, information and canonical correlation

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