mBTSCGCI: computation of the conditional Granger causality index

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

computation of the conditional Granger causality index

Description

computation of the conditional Granger causality index

Usage

mBTSCGCI(xM, responseindex, pmax)

Arguments

xM	the matrix of K time series (variables in columns)
responseindex	the index of the response variable in \{1,\ldots,K\}
pmax	maximum order(lag) of the VAR model to be considered

Value

the matrix of all the conditional Granger causality index across the series of a multivariate set.

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")}

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