On the Sensitivity of Granger Causality to Errors-In-Variables, Linear Transformations and Subsampling
-
Altmetric Citations
Anderson, Brian; Diestler, Manfred; Dufour, Jean-Marie
Description
This article studies the sensitivity of Granger causality to the addition of noise, the introduction of subsampling, and the application of causal invertible filters to weakly stationary processes. Using canonical spectral factors and Wold decompositions, we give general conditions under which additive noise or filtering distorts Granger‐causal properties by inducing (spurious) Granger causality, as well as conditions under which it does not. For the errors‐in‐variables case, we give a...[Show more]
Collections | ANU Research Publications |
---|---|
Date published: | 2019 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/201964 |
Source: | Journal of Time Series Analysis |
DOI: | 10.1111/jtsa.12430 |
Access Rights: | Open Access |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Anderson_On_the_Sensitivity_of_Granger_2019.pdf | 204.9 kB | Adobe PDF |
This item is licensed under a Creative Commons License
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator