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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley & Sons, Ltd
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7814891/ https://www.ncbi.nlm.nih.gov/pubmed/33518840 http://dx.doi.org/10.1111/jtsa.12430 |