gma-package: Granger Mediation Analysis
In gma: Granger Mediation Analysis

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gma performs Granger Mediation Analysis (GMA) of time series. This package includes a single level GMA model and a two-level GMA model, for time series with hierarchically nested structure. The single level GMA model for the time series of a single participant performs the causal mediation analysis which integrates the structural equation modeling and the Granger causality frameworks. A multivariate autoregressive model of order p is employed to account for the spatiotemporal dependencies in the data. Meanwhile, the model introduces the unmeasured confounding effect through a nonzero correlation parameter. Under the two-level model, by leveraging the variabilities across participants, the parameters are identifiable and consistently estimated using a two-stage method or a block coordinate descent method.