Comparison of Bootstrap Methods for Estimating Causality in Linear Dynamic Systems: A Review

In this study, we present a thorough comparison of the performance of four different bootstrap methods for assessing the significance of causal analysis in time series data. For this purpose, multivariate simulated data are generated by a linear feedback system. The methods investigated are uncorrel...

Full description

Bibliographic Details
Published in:Entropy
Main Authors: Fumikazu Miwakeichi, Andreas Galka
Format: Article
Language:English
Published: MDPI AG 2023-07-01
Subjects:
causal analysis
Granger causality
bootstrap methods
multivariate time series
impulse response function
Online Access:https://www.mdpi.com/1099-4300/25/7/1070

Internet

https://www.mdpi.com/1099-4300/25/7/1070

Similar Items