A general statistical framework for assessing Granger causality

Abstract

Assessing the causal relationship among multivariate time series is a crucial problem in many fields. Granger causality has been widely used to identify the causal interactions between continuous-valued time series based on multivariate autoregressive models in the Gaussian case. In order to extend the application of the Granger causality concept to non… (More)
DOI: 10.1109/ICASSP.2010.5495775

Topics

2 Figures and Tables

Cite this paper

@article{Kim2010AGS, title={A general statistical framework for assessing Granger causality}, author={Sanggyun Kim and Emery N. Brown}, journal={2010 IEEE International Conference on Acoustics, Speech and Signal Processing}, year={2010}, pages={2222-2225} }