Impulse Response and Granger Causality in Dynamical Systems with Autoencoder Nonlinear Vector Autoregressions.

Kurt Izak Cabanilla Kevin Thomas Go

Published in: CoRR (2019)

Keyphrases

dynamical systems
granger causality
impulse response
standard deviation
frequency domain
var model
multivariate time series
feature vectors
error correction
electricity consumption
state space
regularization parameter
causal relationships
space variant
closed form