Statistical Tests for Detecting Granger Causality

DOI10.1109/TSP.2018.2872004MaRDI QIDQ4622461zbMATH OpenOpenAlexFDO

Authors Ribhu Chopra, Chandra R. Murthy, Govindan Rangarajan

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2018.2872004

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

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(4)

• Multivariate out-of-sample tests for Granger causality
• Granger causality and stopping times
• Validity of Time Reversal for Testing Granger Causality
• Granger causality for circular variables

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