Identification Granger Causality of Time Series based on Graphical Models
DU Cui-zhen · Jilin Normal University Journal · 2011
The causal relations among components of multivariate time are expressed by Granger causality graph.The vertices,representing the components of the time series,are connected by directed edges according to the Granger causality relations between the variables whereas undirected edges correspond to contemporaneous conditional association.The structure identification of Granger causality graph is studied.A statistic is obtained using the correlation integral and a bootstrap approach is considered to determine the null distribution of the test statistic.The validity of the proposed method is confirmed by simulations and empirical analysis.