Statistical Causality for Multivariate Nonlinear Time Series via Gaussian Process Models

Anna B. Zaremba () and Gareth W. Peters ()
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Anna B. Zaremba: University College London
Gareth W. Peters: University of California Santa Barbara

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2587-2632

Abstract: Abstract The ability to test for statistical causality in linear and nonlinear contexts, in stationary or non-stationary settings, and to identify whether statistical causality influences trend of volatility forms a particularly important class of problems to explore in multi-modal and multivariate processes. In this paper, we develop novel testing frameworks for statistical causality in general classes of multivariate nonlinear time series models. Our framework accommodates flexible features where causality may be present in either: trend, volatility or both structural components of the general multivariate Markov processes under study. In addition, we accommodate the added possibilities of flexible structural features such as long memory and persistence in the multivariate processes when applying our semi-parametric approach to causality detection. We design a calibration procedure and formal testing procedure to detect these relationships through classes of Gaussian process models. We provide a generic framework which can be applied to a wide range of problems, including partially observed generalised diffusions or general multivariate linear or nonlinear time series models. We demonstrate several illustrative examples of features that are easily testable under our framework to study the properties of the inference procedure developed including the power of the test, sensitivity and robustness. We then illustrate our method on an interesting real data example from commodity modelling.

Keywords: Statistical causality; Granger causality; Generalised likelihood ratio test; Nested models; ARD kernel; 60G15; 62F03; 62M10 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09928-3

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