政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/72215

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113656/144643 (79%)
造訪人次 : 51734396 線上人數 : 559

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/72215

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/72215

題名:	Trimmed Granger Causality Between Two Groups of Time Series
作者:	Hung,Ying-Chao;Tseng,Neng-Fang;Narayanaswamy, Balakrishnan
貢獻者:	統計系
日期:	2014-10
上傳時間:	2014-12-23 15:08:36 (UTC+8)
摘要:	The identification of causal effects between two groups of time series has been an important topic in a wide range of applications such as economics, engineering, medicine, neuroscience, and biology. In this paper, a simplified causal relationship (called trimmed Granger causality) based on the context of Granger causality and vector autoregressive (VAR) model is introduced. The idea is to characterize a subset of “important variables” for both groups of time series so that the underlying causal structure can be presented based on minimum variable information. When the VAR model is specified, explicit solutions are provided for the identification of important variables. When the parameters of the VAR model are unknown, an efficient statistical hypothesis testing procedure is introduced to estimate the solution. An example representing the stock indices of different countries is used to illustrate the proposed methods. In addition, a simulation study shows that the proposed methods significantly outperform the Lasso-type methods in terms of the accuracy of characterizing the simplified causal relationship.
關聯:	Electronic Journal of Statistics,8( 2) ,1940-1972
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1214/14-EJS940
DOI:	10.1214/14-EJS940
顯示於類別:	[統計學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
1940-1972.pdf		401Kb	Adobe PDF2	1057	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

資料載入中.....