Granger causality

Seth, Anil (2007) Granger causality. Scholarpedia, 2 (7). p. 1667. ISSN 19416016

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Abstract

Granger causality is a statistical concept of causality that is based on prediction. According to Granger causality, if a signal X1 "Granger-causes" (or "G-causes") a signal X2, then past values of X1 should contain information that helps predict X2 above and beyond the information contained in past values of X2 alone. Its mathematical formulation is based on linear regression modeling of stochastic processes (Granger 1969). More complex extensions to nonlinear cases exist, however these extensions are often more difficult to apply in practice.

Item Type: Article
Schools and Departments: School of Engineering and Informatics > Informatics
Depositing User: Anil Seth
Date Deposited: 06 Feb 2012 18:11
Last Modified: 31 May 2012 08:47
URI: http://srodev.sussex.ac.uk/id/eprint/15161
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