A general statistical framework for assessing Granger causality
Assessing the causal relationship among multivariate time series is a crucial problem in many fields. Granger causality has been widely used to identify the causal interactions between continuous-valued time series based on multivariate autoregressive models in the Gaussian case. In order to extend...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Electrical and Electronics Engineers,
2012-05-02T19:27:22Z.
|
| Subjects: | |
| Online Access: | Get fulltext |