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A bootstrap test to detect prominent Granger-causalities across frequencies - MaRDI portal

A bootstrap test to detect prominent Granger-causalities across frequencies

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Publication:144940

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DOI10.48550/ARXIV.1803.00374arXiv1803.00374MaRDI QIDQ144940

Matteo Farné, Angela Montanari

Publication date: 1 March 2018

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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