The Relation between Granger Causality and Directed Information Theory: A Review
This report reviews the conceptual and theoretical links between Granger causality and directed information theory. We begin with a short historical tour of Granger causality, concentrating on its closeness to information theory. The definitions of Granger causality based on prediction are recalled,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2012-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/15/1/113 |