Article
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Preserved in Portico This version is not peer-reviewed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.
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.
Subject
Computer Science and Mathematics, Probability and Statistics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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