Investigating Multivariate Systems using Directed Partial Correlation

نویسندگان

  • Wolfgang Mader
  • David Feess
  • Dorothee Saur
  • Rüdiger Lange
  • Volkmar Glauche
  • Cornelius Weiller
  • Jens Timmer
  • Björn Schelter
چکیده

Directed partial correlation is a measure for the likelihood of a directed direct interdependence in a multivariate system. Directed partial correlation is based on vector autoregressive processes, and is able to detect Granger causality in such systems. Because inference is entirely drawn from measured data no prior knowledge on the system under investigation is needed.

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تاریخ انتشار 2010