Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

Frequency Domain Repercussions of Instantaneous Granger Causality

Version 1 : Received: 7 July 2021 / Approved: 9 July 2021 / Online: 9 July 2021 (09:34:38 CEST)

A peer-reviewed article of this Preprint also exists.

Baccalá, L.A.; Sameshima, K. Frequency Domain Repercussions of Instantaneous Granger Causality. Entropy 2021, 23, 1037. Baccalá, L.A.; Sameshima, K. Frequency Domain Repercussions of Instantaneous Granger Causality. Entropy 2021, 23, 1037.

Journal reference: Entropy 2021, 23, 1037
DOI: 10.3390/e23081037

Abstract

Using Directed Transfer Function (DTF) and Partial Directed Coherence (PDC) in their information version, this paper extends their theoretical framework to incorporate instantaneous Granger Causality (iGC)’s 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.

Keywords

instantaneous Granger causality; total partial directed coherence; information partial directed coherence; total directed transfer function; information directed transfer function; Granger connectivity; Granger influentiability.

Comments (0)

We encourage comments and feedback from a broad range of readers. See criteria for comments and our diversity statement.

Leave a public comment
Send a private comment to the author(s)
Views 0
Downloads 0
Comments 0
Metrics 0


×
Alerts
Notify me about updates to this article or when a peer-reviewed version is published.
We use cookies on our website to ensure you get the best experience.
Read more about our cookies here.