Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model

DOI10.1109/TSP.2015.2500893zbMath1414.94569arXiv1511.03463OpenAlexW2101668146MaRDI QIDQ4618287

Elsa Siggiridou, Dimitris Kugiumtzis

Publication date: 7 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.03463

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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