Reliability of the Granger causality inference
نویسندگان
چکیده
منابع مشابه
Reliability of the Granger causality inference
How to characterize information flows in physical, biological, and social systems remains a major theoretical challenge. Granger causality (GC) analysis has been widely used to investigate information flow through causal interactions. We address one of the central questions in GC analysis, that is, the reliability of the GC evaluation and its implications for the causal structures extracted by ...
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Granger causality is a statistical concept of causality that is based on prediction. According to Granger causality, if a signal X1 "Granger-causes" (or "G-causes") a signal X2, then past values of X1 should contain information that helps predict X2 above and beyond the information contained in past values of X2 alone. Its mathematical formulation is based on linear regression modeling of stoch...
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ژورنال
عنوان ژورنال: New Journal of Physics
سال: 2014
ISSN: 1367-2630
DOI: 10.1088/1367-2630/16/4/043016