Learning Causal Relations in Multivariate Time Series Data
نویسندگان
چکیده
منابع مشابه
A Learning Causal Relations in Multivariate Time Series Data
Many applications naturally involve time series data and the vector autoregression (VAR), and the structural VAR (SVAR) are dominant tools to investigate relations between variables in time series. In the first part of this work, we show that the SVAR method is incapable of identifying contemporaneous causal relations for Gaussian process. In addition, least squares estimators become unreliable...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1716355