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Multiscale Granger causality [PDF]
Physical Review E, 2017 In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic complexity of individual processes at different time scales are well-established, multiscale analysis of ...
Faes L. +3 more
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New considerations on the validity of the Wiener-Granger causality test
Heliyon, 2020 The Wiener-Granger causality test is used to predict future experimental results from past observations in a purely mathematical way. For instance, in many scientific papers this test has been used to study the causality relations in the case of neuronal
Greta Grassmann
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Heliyon, 2022 This study aims to investigate the co-movement and Granger causality between Bitcoin prices (BTC) and M2 (cash, demand, and time deposits), inflation, and economic policy uncertainty (EPU) in the U.K. and Japan.
Provash Kumer Sarker, Lei Wang
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DLI: A Deep Learning-Based Granger Causality Inference
Complexity, 2020 Integrating autoencoder (AE), long short-term memory (LSTM), and convolutional neural network (CNN), we propose an interpretable deep learning architecture for Granger causality inference, named deep learning-based Granger causality inference (DLI).
Wei Peng
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The relationships between ASEAN stock markets: A spectral Granger causality approach
Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh, 2021 This article collects data of ASEAN6’s daily stock returns to investigate the relationships among them by traditional Granger causality test in combination with spectral Granger causality test.
Trần Thị Tuấn Anh
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Granger causality vs. dynamic Bayesian network inference: a comparative study [PDF]
, 2009 Background In computational biology, one often faces the problem of deriving the causal relationship among different elements such as genes, proteins, metabolites, neurons and so on, based upon multi-dimensional temporal data.
Denby Katherine J +8 more
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Identifying interactions in the time and frequency domains in local and global networks : a Granger causality approach [PDF]
, 2010 Background Reverse-engineering approaches such as Bayesian network inference, ordinary differential equations (ODEs) and information theory are widely applied to deriving causal relationships among different elements such as genes, proteins, metabolites,
Ladroue, Christophe +11 more
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The Relation between Granger Causality and Directed Information Theory: A Review
Entropy, 2012 This report reviews the conceptual and theoretical links between Granger causality and directed information theory. We begin with a short historical tour of Granger causality, concentrating on its closeness to information theory.
Pierre-Olivier Amblard +1 more
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Energies, 2019 This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that
Zhan-Ming Chen +3 more
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Heliyon, 2023 This study investigates the nexus between economic growth (GDP), trade openness, remittances, exchange rate, and agricultural output in E7 (Russia, Indonesia, Mexico, China, India, Brazil, and Turkey) economies, covering the data from 1990 to 2020.
Khalid Usman
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