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Directed information graphs for the Granger causality of multivariate time series

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  • Gao, Wei
  • Cui, Wanqi
  • Ye, Wenna

Abstract

In this paper, we investigate the links between (strong) Granger causality and directed information theory for multivariate time series. Based on the decomposition of conditional directed information, we propose a definition of Granger causality including instantaneous variables in the conditional set, which can avoid the spurious causality. The directed information graphs are presented to describe the Granger causality and instantaneous coupling. The structure learning of the graph models is based on the Leonenko’s k-nn estimator of the statistics and a permutation test of the significant. Finally, we demonstrate the numerical implementation of these techniques on linear and nonlinear time series.

Suggested Citation

  • Gao, Wei & Cui, Wanqi & Ye, Wenna, 2017. "Directed information graphs for the Granger causality of multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 701-710.
    • Handle: RePEc:eee:phsmap:v:486:y:2017:i:c:p:701-710
    DOI: 10.1016/j.physa.2017.05.035
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    References listed on IDEAS

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    1. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    Cited by:

    1. Yu, Xuan & Shi, Suixiang & Xu, Lingyu & Yu, Jie & Liu, Yaya, 2020. "Analyzing dynamic association of multivariate time series based on method of directed limited penetrable visibility graph," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    2. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    3. Torun, Erdost & Chang, Tzu-Pu & Chou, Ray Y., 2020. "Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test," Research in International Business and Finance, Elsevier, vol. 52(C).

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