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Frequency Domain Repercussions of Instantaneous Granger Causality

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Submitted:

07 July 2021

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09 July 2021

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Abstract
Using Directed Transfer Function (DTF) and Partial Directed Coherence (PDC) in their information version, this paper extends their theoretical framework to incorporate instantaneous Granger Causality (iGC)’s frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger Connectivity where interactions mediated without delay between time series can be easily detected.
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Subject: Computer Science and Mathematics  -   Probability and Statistics
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
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