VN Causation

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Description

Returns the causality from observational data between two variables

Usage

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VN.caus(x, y, tau)

Arguments

x

Variable

y

Variable

tau

Number of lagged observations to consider

Value

Returns the directional causation and quantity of association.

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" http://amzn.com/1490523995

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100)
## Not run: VN.caus(x,y,3)