Granger Causality on forward and Reversed Time Series
In this study, the information flow time arrow is investigated for stochastic data defined by vector autoregressive models. The time series are analyzed forward and backward by different Granger causality detection methods. Besides the normal distribution, which is usually required for the validity...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-03-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/4/409 |