Conditional Granger Causality and Genetic Algorithms in VAR Model Selection.
Vasile George MaricaAlexandra HorobetPublished in: Symmetry (2019)
Keyphrases
- model selection
- var model
- granger causality
- impulse response
- multivariate time series
- cross validation
- stock index futures
- error correction
- hyperparameters
- regression model
- sample size
- parameter estimation
- machine learning
- causal relationships
- selection criterion
- model selection criteria
- functional connectivity
- electricity consumption
- feature selection
- standard deviation
- unsupervised learning
- dimension reduction
- multi channel
- image registration