Detecting causality from observations of dynamic variables.

Rosebrock, Daniel.

2017-04-20T13:59:45.257Z

Description
  • 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
This object is in collection Corporate name Permanent URL
ID:
cr56nc365
To Cite:
DCA Citation Guide    EndNote