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          Institute: MPI für biologische Kybernetik     Collection: Biologische Kybernetik     Display Documents



ID: 420057.0, MPI für biologische Kybernetik / Biologische Kybernetik
A Kernel Test of Nonlinear Granger Causality
Authors:Sun, X.
Editors:Barber, D.; Cemgil, A. T.; Chiappa, S.
Date of Publication (YYYY-MM-DD):2008-06
Title of Proceedings:Proceedings of the Workshop on Inference and Estimation in Probabilistic Time-Series Models
Start Page:79
End Page:89
Physical Description:11
Audience:Not Specified
Intended Educational Use:No
Abstract / Description:We present a novel test of nonlinear Granger causality in bivariate time series. The trace norm of conditional covariance operators is used to capture the prediction errors. Based on this measure, a subsampling-based multiple testing procedure tests
the prediction improvement of one time series by the other one. The distributional properties of the resulting p-values reveal the direction of Granger causality. Encouraging
results of experiments with simulated and real-world data support our approach.
External Publication Status:published
Document Type:Conference-Paper
Communicated by:Holger Fischer
Affiliations:MPI f�r biologische Kybernetik/Empirical Inference (Dept. Sch�lkopf)
Identifiers:LOCALID:5252
URL:http://www.newton.ac.uk/programmes/SCH/schw05-pape...
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