Learning Granger causality graphs for multivariate nonlinear time series

Journal of Systems Science and Systems Engineering

Volumn 18, Issue 1, 2009, Pages 38-52

  Gao, Wei ^a   Tian, Zheng ^a,b  

^a NORTHWESTERN POLYTECHNICAL UNIVERSITY   (China)

^b INSTITUTE OF REMOTE SENSING APPLICATIONS   (China)

Author keywords

Conditional mutual information; Granger causality graph; Multivariate nonlinear time series; Surrogate data

Indexed keywords

FEATURE EXTRACTION; GRAPH THEORY; INFORMATION THEORY; STATISTICAL TESTS;

BOOTSTRAP METHODS; CONDITIONAL INDEPENDENCES; CONDITIONAL MUTUAL INFORMATION; FINITE SAMPLE BEHAVIORS; GRANGER CAUSALITY GRAPH; GRAPH MODELS; MULTIVARIATE NONLINEAR TIME SERIES; MULTIVARIATE TIME SERIES; NON LINEAR RELATIONS; NON LINEARITIES; PERMUTATION PROCEDURES; SIMULATION TIME; SURROGATE DATA; VERTEX SETS;

TIME SERIES;

EID: 62449103949     PISSN: 10043756     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11518-009-5099-9     Document Type: Article

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