Frequency decomposition of conditional Granger causality and application to multivariate neural field potential data. Chen, Y., Bressler, S., & Ding, M. J. Neurosci. Methods, 150:228--237, Jan, 2006. abstract bibtex It is often useful in multivariate time series analysis to determine statistical causal relations between different time series. Granger causality is a fundamental measure for this purpose. Yet the traditional pairwise approach to Granger causality analysis may not clearly distinguish between direct causal influences from one time series to another and indirect ones acting through a third time series. In order to differentiate direct from indirect Granger causality, a conditional Granger causality measure in the frequency domain is derived based on a partition matrix technique. Simulations and an application to neural field potential time series are demonstrated to validate the method.
@article{ Chen_etal06,
author = {Chen, Y. and Bressler, S.L. and Ding, M.},
title = {{{F}requency decomposition of conditional {G}ranger causality and
application to multivariate neural field potential data}},
journal = {J. Neurosci. Methods},
year = {2006},
volume = {150},
pages = {228--237},
month = {Jan},
abstract = {It is often useful in multivariate time series analysis to determine
statistical causal relations between different time series. Granger
causality is a fundamental measure for this purpose. Yet the traditional
pairwise approach to Granger causality analysis may not clearly distinguish
between direct causal influences from one time series to another
and indirect ones acting through a third time series. In order to
differentiate direct from indirect Granger causality, a conditional
Granger causality measure in the frequency domain is derived based
on a partition matrix technique. Simulations and an application to
neural field potential time series are demonstrated to validate the
method.}
}
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