The estimation of parameters for a complex time series Granger causal model

MaRDI QIDQ2984032zbMATH OpenFDO

Authors Jiawu Liao, Fulai Chen

Publication date 17 May 2017

zbMATH Keywords

causal modelGranger causalityordinary least squaresparameter estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(4)

• Representing conditional Granger causality by vector auto-regressive parameters
• Selecting time scales for empirical model construction
• Choosing the optimal model parameters for Granger causality in application to time series with main timescale
• scientific article; zbMATH DE number 7644904 (Why is no real title available?)

Describes a project that uses

Uses Software

• Matlab

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