Related papers: Granger causality test for heteroskedastic and str…

Most of the metrics used for detecting a causal relationship among multiple time series ignore the effects of practical measurement impairments, such as finite sample effects, undersampling and measurement noise. It has been shown that…

Granger causality has been employed to investigate causality relations between components of stationary multiple time series. We generalize this concept by developing statistical inference for local Granger causality for multivariate…

Causality in time series can be challenging to determine, especially in the presence of non-linear dependencies. Granger causality helps analyze potential relationships between variables, thereby offering a method to determine whether one…

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…

Kernel-based methods are used in the context of Granger Causality to enable the identification of nonlinear causal relationships between time series variables. In this paper, we show that two state of the art kernel-based Granger Causality…

Granger causality (GC) is undoubtedly the most widely used method to infer cause-effect relations from observational time series. Several nonlinear alternatives to GC have been proposed based on kernel methods. We generalize kernel Granger…

Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger…

Multivariate time series anomaly detection has numerous real-world applications and is being extensively studied. Modeling pairwise correlations between variables is crucial. Existing methods employ learnable graph structures and graph…

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…

Granger causality is widely used for causal structure discovery in complex systems from multivariate time series data. Traditional Granger causality tests based on linear models often fail to detect even mild non-linear causal…

Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here we introduce JGC (Jacobian Granger Causality), a neural network-based approach to Granger causality using the Jacobian as a…

We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation consistent (HAC) estimation of the asymptotic variance and…

Granger causality is a statistical notion of causal influence based on prediction via vector autoregression. For Gaussian variables it is equivalent to transfer entropy, an information-theoretic measure of time-directed information transfer…

Granger causality (GC) is often considered not an actual form of causality. Still, it is arguably the most widely used method to assess the predictability of a time series from another one. Granger causality has been widely used in many…

Identifying causal relations among simultaneously acquired signals is an important problem in multivariate time series analysis. For linear stochastic systems Granger proposed a simple procedure called the Granger causality to detect such…

It is a challenging research endeavor to infer causal relationships in multivariate observational time-series. Such data may be represented by graphs, where nodes represent time-series, and edges directed causal influence scores between…

It is often useful in multivariate time series analysis to determine statistical causal relations between different time series. Granger causality is a fundamental measure for this purpose. Yet the traditional pairwise approach to Granger…

That physiological oscillations of various frequencies are present in fMRI signals is the rule, not the exception. Herein, we propose a novel theoretical framework, spatio-temporal Granger causality, which allows us to more reliably and…

Important information on the structure of complex systems, consisting of more than one component, can be obtained by measuring to which extent the individual components exchange information among each other. Such knowledge is needed to…

Granger causality and variants of this concept allow the study of complex dynamical systems as networks constructed from multivariate time series. In this work, a large number of Granger causality measures used to form causality networks…