Granger causality using Jacobian in neural networks.
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DOI: 10.1063/5.0106666
Abstract: Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here, we introduce JGC (Jacobian Granger causality), a neural network-based approach to Granger causality using the Jacobian as… read more here.
Keywords: using jacobian; granger; causality using; granger causal ... See more keywords
Granger Causal Priority and Choice of Variables in Vector Autoregressions
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DOI: 10.1162/rest_a_00601
Abstract: Abstract We derive a closed-form expression for the posterior probability of Granger noncausality in a gaussian vector autoregression with a conjugate prior. We also express in closed form the posterior probability of Granger causal priority,… read more here.
Keywords: choice variables; variables vector; priority choice; causal priority ... See more keywords