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.
| Author(s): | Sun, X. |
| Journal: | Proceedings of the Workshop on Inference and Estimation in Probabilistic Time-Series Models |
| Pages: | 79-89 |
| Year: | 2008 |
| Month: | June |
| Day: | 0 |
| Editors: | Barber, D. , A. T. Cemgil, S. Chiappa |
| Publisher: | Isaac Newton Institute for Mathematical Sciences |
| Bibtex Type: | Conference Paper (inproceedings) |
| Address: | Cambridge, United Kingdom |
| Event Name: | Workshop on Inference and Estimation in Probabilistic Time-Series Models |
| Event Place: | Cambridge, UK |
| Digital: | 0 |
| Electronic Archiving: | grant_archive |
| Language: | en |
| Organization: | Max-Planck-Gesellschaft |
| School: | Biologische Kybernetik |
| Links: | |
BibTex
@inproceedings{5252,
title = {A Kernel Test of Nonlinear Granger Causality},
journal = {Proceedings of the Workshop on Inference and Estimation in Probabilistic Time-Series Models},
abstract = {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.},
pages = {79-89},
editors = {Barber, D. , A. T. Cemgil, S. Chiappa},
publisher = {Isaac Newton Institute for Mathematical Sciences},
organization = {Max-Planck-Gesellschaft},
school = {Biologische Kybernetik},
address = {Cambridge, United Kingdom},
month = jun,
year = {2008},
slug = {5252},
author = {Sun, X.},
month_numeric = {6}
}