Designing Bivariate Auto-Regressive Timeseries with Controlled Granger Causality
In this manuscript, we analyze a bivariate vector auto-regressive (VAR) model in order to draw the design principle of a timeseries with a controlled statistical inter-relationship. We show how to generate bivariate timeseries with given covariance and Granger causality (or, equivalently, transfer e...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/6/742 |