Causality indices for bivariate time series data: a comparative review of performance

DOI10.1063/5.0053519MaRDI QIDQ6556917zbMATH OpenFDO

Authors Tom Edinburgh, Stephen J. Eglen, Ari Ercole

Publication date 17 June 2024

Published in Chaos (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1063/5.0053519

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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• Scikit-learn: machine learning in Python
• Simulation study of direct causality measures in multivariate time series

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