A Note on Multivariate Granger Causality Measure in Time Series

Huong Nguyen Thu
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Huong Nguyen Thu: Division of Mathematical Statistics, Department of Mathematics, Stockholm University, Sweden

Biostatistics and Biometrics Open Access Journal, 2019, vol. 9, issue 5, 105-106

Abstract: In this short communication, we introduce a class of multivariate time series models associated with autoregressive-moving average scheme. A choice for a non-negative multivariate Granger causality measure based on conditional linear dependence and feedback between time series is suggested for the model.

Keywords: Biometrics Open Access Journal; Biostatistics and Biometrics; Biostatistics and Biometrics Open Access Journal; Open Access Journals; biometrics journal; biometrics articles; biometrics journal reference; biometrics journal impact factor; biometrics and biostatistics journal impact factor; journal of biometrics; open access juniper publishers; juniper publishers reivew (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:adp:jbboaj:v:9:y:2019:i:5:p:105-106

DOI: 10.19080/BBOAJ.2019.09.555771

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