Analyzing multiple nonlinear time series with extended Granger causality
نویسندگان
چکیده
منابع مشابه
Analyzing Multiple Nonlinear Time Series with Extended Granger Causality
Identifying causal relations among simultaneously acquired signals is an important problem in multivariate time series analysis. For linear stochastic systems Granger proposed a simple procedure called the Granger causality to detect such relations. In this work we consider nonlinear extensions of Granger’s idea and refer to the result as Extended Granger Causality. A simple approach implementi...
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ژورنال
عنوان ژورنال: Physics Letters A
سال: 2004
ISSN: 0375-9601
DOI: 10.1016/j.physleta.2004.02.032