.png){kind=icon}
.png){kind=icon}
Return
Testing for Granger causality using a partial coherence statistic
.png){kind=icon}
OA
AI
DOI：10.1016/j.sigpro.2023.109190.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
In this paper, partial coherence is used to evaluate Granger-Geweke (GG) causality of one signal sequence on another. The key idea is to establish a connection between questions of GG causality and questions of partial coherence. Once this connection is established, then a scale-invariant partial coherence statistic is used to resolve the question of GG causality. This coherence statistic is shown to be a likelihood ratio, and its null distribution is shown to be a Wilks Lambda. Numerical experiments demonstrate the application of partial coherence to the resolution of Granger causal influence. Importantly, the method depends on no generative model for causality.
Keywords:
Granger causality
Partial coherence
Likelihood ratio test
Wilks lambda
Receiver operating characteristic
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
3.6
Papers:
9.9K
Citations:
1.7W