Choosing the optimal model parameters for Granger causality in application to time series with main timescale

Maksim V. Kornilov, Tatiana M. Medvedeva, Boris P. Bezruchko and Ilya V. Sysoev

Chaos, Solitons & Fractals, 2016, vol. 82, issue C, 11-21

Abstract: The problem of determining the presence and direction of coupling between experimentally observed time series is of immediate interest in many relevant areas of knowledge. One of the approaches to its solution is the method of nonlinear Granger causality. The algorithm is based on the construction of predictive models and its effectiveness depends on the proper selection of model parameters.

Keywords: Coupling identification; Granger causality; Time series (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:82:y:2016:i:c:p:11-21

DOI: 10.1016/j.chaos.2015.10.027

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