A general statistical framework for assessing Granger causality
Assessing the causal relationship among multivariate time series is a crucial problem in many fields. Granger causality has been widely used to identify the causal interactions between continuous-valued time series based on multivariate autoregressive models in the Gaussian case. In order to extend...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute of Electrical and Electronics Engineers
2012
|
| Online Access: | http://hdl.handle.net/1721.1/70484 https://orcid.org/0000-0003-2668-7819 |