A Consistent Nonparametric Test for Granger Non-Causality Based on the Transfer Entropy
To date, testing for Granger non-causality using kernel density-based nonparametric estimates of the transfer entropy has been hindered by the intractability of the asymptotic distribution of the estimators. We overcome this by shifting from the transfer entropy to its first-order Taylor expansion n...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-10-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/10/1123 |