Multivariate linear and nonlinear causality tests

DOI10.1016/j.matcom.2010.06.008zbMath1201.62072OpenAlexW2040247608MaRDI QIDQ609070

Bingzhi Zhang, Wing-Keung Wong, Zhi-Dong Bai

Publication date: 30 November 2010

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

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.008

zbMATH Keywords

U-statisticsnonlinear Granger causalitylinear Granger causality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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