Identification and application about Granger causality graph of vector autoregressive model using conditional mutual information
向量自回归模型Granger因果图的条件互信息辨识与应用

The Granger Causality is an important basis for measuring the dynamic relationships among system variables. Traditional two-variable Granger causality analysis method is prone to inducing spurious causal relationship and can not portray the immediate causal relationship.This paper explores how to use graphical models method to analyze the Granger causal relations among components of multivariate time series.Granger causality graph of time series is presented. The structural identification of Granger causali...