A Consistent Nonparametric Test for Granger Non-Causality Based on the Transfer Entropy

To date, testing for Granger non-causality using kernel density-based nonparametric estimates of the transfer entropy has been hindered by the intractability of the asymptotic distribution of the estimators. We overcome this by shifting from the transfer entropy to its first-order Taylor expansion n...

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Detalles Bibliográficos
Autores principales: Diks, Cees, Fang, Hao
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597253/
https://www.ncbi.nlm.nih.gov/pubmed/33286892
http://dx.doi.org/10.3390/e22101123

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597253/
https://www.ncbi.nlm.nih.gov/pubmed/33286892
http://dx.doi.org/10.3390/e22101123

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