Trimmed Granger causality between two groups of time series (Q470487)
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scientific article; zbMATH DE number 6368817
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Trimmed Granger causality between two groups of time series |
scientific article; zbMATH DE number 6368817 |
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Trimmed Granger causality between two groups of time series (English)
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12 November 2014
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Granger causality
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multivariate time series
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vector autoregressive process
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Wald test with constrained parameter spaces
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multiple hypothesis testing
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Lasso-penalized VAR approach
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0.87450445
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0.87389654
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0.86646897
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0.85734636
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0.85394776
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0.8532561
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