distance_matrix_CGCI: Pairwise distance matrix based on the conditional Granger...

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

Pairwise distance matrix based on the conditional Granger causality index

Description

Pairwise distance matrix of a multivariate time series based on the the conditional Granger causality index distance between two series

Usage

distance_matrix_CGCI(unit, pmax)

Arguments

unit	A matrix representing a multivariate time series where each column is a univariate time series.
pmax	maximum order(lag) of the VAR model to be considered

Value

a matrix with pairwise distances

See Also

Siggiridou, Elsa, and Dimitris Kugiumtzis. "Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model." IEEE Transactions on Signal Processing 64, no. 7 (April 2016): 1759-73. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1109/TSP.2015.2500893")}

Examples

X=matrix( rnorm(2000), ncol=10  )
pmax=4
distance_matrix_CGCI(unit=X, pmax)

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.