Detecting causality from observations of dynamic variables.

Rosebrock, Daniel.
2017-04-20T13:59:45.257Z

Abstract: ``Granger causality" is a methodology, first proposed in 1969 by Clive Granger, for detecting causal relationships between two stochastically fluctuating quantities. I will present several equivalent ways of describing this methodology. In Granger's original work, it was assumed that the stochastic quantities are discretized Ornstein-Uhlenbeck processes, that is, AR(1) processes. Thus th... read more

Subjects
Tufts University. Department of Mathematics.
Permanent URL
http://hdl.handle.net/10427/012040
ID: tufts:21516
To Cite: DCA Citation Guide