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Testing different methodologies for Granger causality estimation: A simulation study.

Yuri AntonacciLaura AstolfiLuca Faes
Published in: EUSIPCO (2020)
Keyphrases
  • simulation study
  • granger causality
  • monte carlo
  • data mining
  • multivariate time series
  • impulse response
  • parameter estimation
  • data analysis
  • error correction
  • electricity consumption