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A Kernel Test of Nonlinear Granger Causality

MPG-Autoren
http://pubman.mpdl.mpg.de/cone/persons/resource/persons84243

Sun,  X
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Zitation

Sun, X. (2008). A Kernel Test of Nonlinear Granger Causality. In Workshop on Inference and Estimation in Probabilistic Time-Series Models (pp. 79-89). Cambridge, United Kingdom: Isaac Newton Institute for Mathematical Sciences.


Zitierlink: http://hdl.handle.net/11858/00-001M-0000-0013-C8E9-8
Zusammenfassung
We present a novel test of nonlinear Granger causality in bivariate time series. The trace norm of conditional covariance operators is used to capture the prediction errors. Based on this measure, a subsampling-based multiple testing procedure tests the prediction improvement of one time series by the other one. The distributional properties of the resulting p-values reveal the direction of Granger causality. Encouraging results of experiments with simulated and real-world data support our approach.