Related papers: Regime-Dependent Predictive Structure Between Equi…
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily complex hypotheses in a computationally…
Granger causality is a fundamental technique for causal inference in time series data, commonly used in the social and biological sciences. Typical operationalizations of Granger causality make a strong assumption that every time point of…
Exploratory analysis of time series data can yield a better understanding of complex dynamical systems. Granger causality is a practical framework for analysing interactions in sequential data, applied in a wide range of domains. In this…
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…
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…
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 causal inference is a contentious but widespread method used in fields ranging from economics to neuroscience. The original definition addresses the notion of causality in time series by establishing functional dependence…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
Inferring causal relationships in observational time series data is an important task when interventions cannot be performed. Granger causality is a popular framework to infer potential causal mechanisms between different time series. The…
Explaining underlying causes or effects about events is a challenging but valuable task. We define a novel problem of generating explanations of a time series event by (1) searching cause and effect relationships of the time series with…
We consider the Granger causal structure learning problem from time series data. Granger causal algorithms predict a 'Granger causal effect' between two variables by testing if prediction error of one decreases significantly in the absence…
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…
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…
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…
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, commonly used for inferring causal structures from time series data, has been adopted in widespread applications across various fields due to its intuitive explainability and high compatibility with emerging deep neural…
The achievement of the 2030 Sustainable Development Goals (SDGs) is dependent upon strategic resource distribution. We propose a causal discovery framework using Panel Vector Autoregression, along with both country-specific fixed effects…
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…
The concept of Granger causality is increasingly being applied for the characterization of directional interactions in different applications. A multivariate framework for estimating Granger causality is essential in order to account for…
Introduced more than a half century ago, Granger causality has become a popular tool for analyzing time series data in many application domains, from economics and finance to genomics and neuroscience. Despite this popularity, the validity…