Simulation Study of Direct Causality Measures in Multivariate Time Series
Measures of the direction and strength of the interdependence among time series from multivariate systems are evaluated based on their statistical significance and discrimination ability. The best-known measures estimating direct causal effects, both linear and nonlinear, are considered, i.e., condi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2013-07-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/15/7/2635 |