Simulation Study of Direct Causality Measures in Multivariate Time Series
نویسندگان
چکیده
منابع مشابه
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., conditional Granger causality index (CGCI), partial Granger causality index (PGCI), partial directed c...
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ژورنال
عنوان ژورنال: Entropy
سال: 2013
ISSN: 1099-4300
DOI: 10.3390/e15072635