Feedback, causality and distance between ARMA models.

DOI10.1016/j.matcom.2003.11.019zbMath1042.93052OpenAlexW2005480095MaRDI QIDQ1428717

Umberto Triacca

Publication date: 29 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2003.11.019

zbMATH Keywords

feedbackdistanceVARGranger causalityARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Feedback control (93B52) Stochastic systems in control theory (general) (93E03)

Related Items (4)

Linear and nonlinear causality between signals: methods, examples and neurophysiological applications ⋮ Spectral Decomposition of the AR Metric ⋮ Further analysis of spurious causality ⋮ The Autoregressive metric for comparing time series models

Cites Work

• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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