Causality Distance Measures for Multivariate Time Series with Applications

Causality Distance Measures for Multivariate Time Series with Applications

In this work, we focus on the development of new distance measure algorithms, namely, the Causality Within Groups (CAWG), the Generalized Causality Within Groups (GCAWG) and the Causality Between Groups (CABG), all of which are based on the well-known Granger causality. The proposed distances togeth...

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Bibliographic Details
Main Authors: Achilleas Anastasiou, Peter Hatzopoulos, Alex Karagrigoriou, George Mavridoglou
Format: Article
Language:English
Published: MDPI AG 2021-10-01
Series:Mathematics
Subjects:
multivariate time series
Granger causality
clustering
classification
distance
divergence
Online Access:https://www.mdpi.com/2227-7390/9/21/2708

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