The relation between Granger causality and directed information theory: a review

DOI10.3390/e15010113OpenAlexW2084008199MaRDI QIDQ742659

Olivier J. J. Michel, Pierre-Olivier Amblard

Publication date: 19 September 2014

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3169

zbMATH Keywords

information theoryGranger causalityconditional independencetransfer entropycausal conditioning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of information, entropy (94A17)

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