We discuss the use of multivariate Granger causality in presence of redundant variables: the application of the standard analysis, in this case, leads to under-estimation of causalities. Using the un-normalized version of the causality index, we quantitatively develop the notions of redundancy and synergy in the frame of causality and propose two approaches to group redundant variables: (i) for...

We discuss the use of multivariate Granger causality in presence of redundant variables: the application of the standard analysis, in this case, leads to under estimation of causalities. Using the un-normalized version of the causality index, we quantitatively develop the notions of redundancy and synergy in the frame of causality and propose two approaches to group redundant variables: (i) for...

Spectral interdependency methods are a means of statistically quantifying the interrelationship between a pair of dynamic processes as a function of frequency or time period of oscillation. The measures of spectral interdependency are derived from the time series recordings of dynamic systems either by using autoregressive modeling (parametric method) or by using direct Fourier or wavelet trans...

The identification of effective connectivity from time-series data such as electroencephalogram (EEG) or time-resolved function magnetic resonance imaging (fMRI) recordings is an important problem in brain imaging. One commonly used approach to inference effective connectivity is based on vector autoregressive models and the concept of Granger causality. However, this probabilistic concept of c...

The increased integration due to cross-listing leads the volatility spillover effect on domestic market posing from cross-listed global indices viz., Nifty 50 India, Luxx 100 Luxembourg, NASDAQ US, and FTSE_Aim UK. Johansen Co-integration test is applied check level of integration, which further checked by multivariate granger causality showing pattern among indices. GARCH (1,1) model examine I...

In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic complexity of individual processes at different time scales are well established, multiscale analysis of directed interactions has never been formaliz...

Adopt co-integration and granger causality test for analyzing the influences of the deviation of three industrial structures on peasants’ income based on the model of industrial structure deviation with time sequences of peasants’ income and the deviation of three industrial structures in China Jiangxi. It’s found that there exists a long-term positive equilibrium relationship between the devia...

A number of studies have tried to exploit subtle phase differences in BOLD time series to resolve the order of sequential activation of brain regions, or more generally the ability of signal in one region to predict subsequent signal in another region. More recently, such lag-based measures have been applied to investigate directed functional connectivity, although this application has been con...

the paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of bangladesh over the period of 1991 to 2012. a wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. the study reveals a stable and significant long run relationship between the varia...