Related papers: Granger Causality in Multi-variate Time Series usi…

Physicists are starting to work in areas where noisy signal analysis is required. In these fields, such as Economics, Neuroscience, and Physics, the notion of causality should be interpreted as a statistical measure. We introduce to the lay…

Vector autoregression has been widely used for modeling and analysis of multivariate time series data. In high-dimensional settings, model parameter regularization schemes inducing sparsity yield interpretable models and achieved good…

The vector autoregressive (VAR) model has been used to describe the dependence within and across multiple time series. This is a model for stationary time series which can be extended to allow the presence of a deterministic trend in each…

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…

Unveil, model, and comprehend the causal mechanisms underpinning natural phenomena stand as fundamental endeavors across myriad scientific disciplines. Meanwhile, new knowledge emerges when discovering causal relationships from data.…

Granger-causality in the frequency domain is an emerging tool to analyze the causal relationship between two time series. We propose a bootstrap test on unconditional and conditional Granger-causality spectra, as well as on their…

This paper introduces a novel approach, the bivariate generalized autoregressive (BGAR) model, for modeling and forecasting bivariate time series data. The BGAR model generalizes the bivariate vector autoregressive (VAR) models by allowing…

We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear…

Identification of the causal relationship between multivariate time series is a ubiquitous problem in data science. Granger causality measure (GCM) and conditional Granger causality measure (cGCM) are widely used statistical methods for…

We introduce an operator-theoretic framework for analyzing directional dependence in multivariate time series based on order-constrained spectral non-invariance. Directional influence is defined as the sensitivity of second-order dependence…

Instrumental variable (IV) regression relies on instruments to infer causal effects from observational data with unobserved confounding. We consider IV regression in time series models, such as vector auto-regressive (VAR) processes. Direct…

Granger causality has become an indispensable tool for analyzing causal relationships between time series. In this paper, we provide a detailed overview of its mathematical foundations, trace its historical development, and explore how…

Causal discovery from time-series data has been a central task in machine learning. Recently, Granger causality inference is gaining momentum due to its good explainability and high compatibility with emerging deep neural networks. However,…

Time series graphical models have recently received considerable attention for characterizing (conditional) dependence structures in multivariate time series. In many applications, the multivariate series exhibit variable-partitioned…

Complex systems, such as brains, markets, and societies, exhibit internal dynamics influenced by external factors. Disentangling delayed external effects from internal dynamics within these systems is often challenging. We propose using a…

Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the…

Modern health care systems are conducting continuous, automated surveillance of the electronic medical record (EMR) to identify adverse events with increasing frequency; however, many events such as sepsis do not have elucidated prodromes…

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…

Experiments in many fields of science and engineering yield data in the form of time series. The Fourier and wavelet transform-based nonparametric methods are used widely to study the spectral characteristics of these time series data.…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…