mBTSCGCI {AnomalyScore} | R Documentation |
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 |
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. doi:10.1109/TSP.2015.2500893
[Package AnomalyScore version 0.1 Index]