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Granger causality for state-space models (2015)

Lionel Barnett and Anil K. Seth

American Physical Society (APS)

In: Physical Review E

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Publication Date: 2015-04-24

Description: Author(s): Lionel Barnett and Anil K. Seth Granger causality has long been a prominent method for inferring causal interactions between stochastic variables for a broad range of complex physical systems. However, it has been recognized that a moving average (MA) component in the data presents a serious confound to Granger causal analysis, as... [Phys. Rev. E 91, 040101] Published Thu Apr 23, 2015

Keywords: Statistical Physics

Print ISSN: 1539-3755

Electronic ISSN: 1550-2376

Topics: Physics

Published by American Physical Society (APS)

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