Analyzing multiple nonlinear time series with extended Granger causality

Physics Letters, Section A: General, Atomic and Solid State Physics

Volumn 324, Issue 1, 2004, Pages 26-35

  Chen, Yonghong ^a,b   Rangarajan, Govindan ^c,d   Feng, Jianfeng ^e   Ding, Mingzhou ^b  

^a XI'AN JIAOTONG UNIVERSITY   (China)

^b FLORIDA ATLANTIC UNIVERSITY   (United States)

^c INDIAN INSTITUTE OF SCIENCE   (India)

^d JAWAHARLAL NEHRU CENTRE FOR ADVANCED SCIENTIFIC RESEARCH   (India)

^e UNIVERSITY OF SUSSEX   (United Kingdom)

Author keywords

Delay embedding reconstruction; Extended Granger causality; Granger causality; Nonlinear time series; Vector autoregressive models

Indexed keywords

STATISTICAL TESTS; STOCHASTIC SYSTEMS;

CHAOTIC TIME SERIES; DELAY-EMBEDDING; GRANGER CAUSALITY; LINEAR STOCHASTIC SYSTEM; MULTIVARIATE TIME SERIES ANALYSIS; NONLINEAR EXTENSION; NONLINEAR TIME SERIES; VECTOR AUTOREGRESSIVE MODEL;

TIME SERIES ANALYSIS;

ANALYTIC METHOD; ARTICLE; CHAOTIC DYNAMICS; GRANGER CAUSALITY; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; STOCHASTIC MODEL; THEORETICAL MODEL;

EID: 19244387027     PISSN: 03759601     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physleta.2004.02.032     Document Type: Article

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