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On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
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 addit...
Gardado en:
| Publicado en: | J Time Ser Anal |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
John Wiley & Sons, Ltd
2018
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| Assuntos: | |
| Acceso en liña: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7814891/ https://ncbi.nlm.nih.gov/pubmed/33518840 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1111/jtsa.12430 |
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