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Frequency Domain Repercussions of Instantaneous Granger Causality

Using directed transfer function (DTF) and partial directed coherence (PDC) in the information version, this paper extends the theoretical framework to incorporate the instantaneous Granger causality (iGC) frequency domain description into a single unified perspective. We show that standard vector a...

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Detalles Bibliográficos
Autores principales: Baccalá, Luiz A., Sameshima, Koichi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8392485/
https://www.ncbi.nlm.nih.gov/pubmed/34441177
http://dx.doi.org/10.3390/e23081037
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author Baccalá, Luiz A.
Sameshima, Koichi
author_facet Baccalá, Luiz A.
Sameshima, Koichi
author_sort Baccalá, Luiz A.
collection PubMed
description Using directed transfer function (DTF) and partial directed coherence (PDC) in the information version, this paper extends the theoretical framework to incorporate the instantaneous Granger causality (iGC) frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger connectivity, where interactions mediated without delay between time series can be easily detected.
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spelling pubmed-83924852021-08-28 Frequency Domain Repercussions of Instantaneous Granger Causality Baccalá, Luiz A. Sameshima, Koichi Entropy (Basel) Article Using directed transfer function (DTF) and partial directed coherence (PDC) in the information version, this paper extends the theoretical framework to incorporate the instantaneous Granger causality (iGC) frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger connectivity, where interactions mediated without delay between time series can be easily detected. MDPI 2021-08-12 /pmc/articles/PMC8392485/ /pubmed/34441177 http://dx.doi.org/10.3390/e23081037 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Baccalá, Luiz A.
Sameshima, Koichi
Frequency Domain Repercussions of Instantaneous Granger Causality
title Frequency Domain Repercussions of Instantaneous Granger Causality
title_full Frequency Domain Repercussions of Instantaneous Granger Causality
title_fullStr Frequency Domain Repercussions of Instantaneous Granger Causality
title_full_unstemmed Frequency Domain Repercussions of Instantaneous Granger Causality
title_short Frequency Domain Repercussions of Instantaneous Granger Causality
title_sort frequency domain repercussions of instantaneous granger causality
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8392485/
https://www.ncbi.nlm.nih.gov/pubmed/34441177
http://dx.doi.org/10.3390/e23081037
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