Heterogeneous Graphical Granger Causality by Minimum Message Length
The heterogeneous graphical Granger model (HGGM) for causal inference among processes with distributions from an exponential family is efficient in scenarios when the number of time observations is much greater than the number of time series, normally by several orders of magnitude. However, in the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/12/1400 |