Designing Bivariate Auto-Regressive Timeseries with Controlled Granger Causality

In this manuscript, we analyze a bivariate vector auto-regressive (VAR) model in order to draw the design principle of a timeseries with a controlled statistical inter-relationship. We show how to generate bivariate timeseries with given covariance and Granger causality (or, equivalently, transfer e...

Full description

Bibliographic Details
Main Authors: Shohei Hidaka, Takuma Torii
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Entropy
Subjects:
Online Access:https://www.mdpi.com/1099-4300/23/6/742

Similar Items