Nonlinear Granger causality and its application in computational neuroscience
Wang Yifu, Chen Song-qiao · Computer Engineering and Applications Journal · 2007
Since Granger put forward the notation of causality in 1969,the application of Granger causality has become more and more extensive,but it is only used to analyze the inner relationship of linear time series data.In this article,we extend linear Granger causality to the case of nonlinear.We first construct nonlinear time series model by the method of kernel function,then we definite nonlinear Granger causality as the thought of linear Granger causality.At last,we demonstrate an example to test the validity of nonlinear Granger causality.It is clear from the results that our method is effective to analyze the inner relationship of nonlinear time series.