Journal
PHYSICS LETTERS A
Volume 324, Issue 1, Pages 26-35Publisher
ELSEVIER
DOI: 10.1016/j.physleta.2004.02.032
Keywords
Granger causality; extended granger causality; nonlinear time series; vector autoregressive models; delay embedding reconstruction
Categories
Ask authors/readers for more resources
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 relations. In this work we consider nonlinear extensions of Granger's idea and refer to the result as extended Granger causality. A simple approach implementing the extended Granger causality is presented and applied to multiple chaotic time series and other types of nonlinear signals. In addition, for situations with three or more time series we propose a conditional extended Granger causality measure that enables us to determine whether the causal relation between two signals is direct or mediated by another process. (C) 2004 Elsevier B.V All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available