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Nelineinaya Dinamika [Russian Journal of Nonlinear Dynamics], 2015, Volume 11, Number 4, Pages 657–670
(Mi nd500)
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This article is cited in 2 scientific papers (total in 2 papers)
Original papers
The effect of increase of the Granger causality method sensitivity with rise of a measurement noise
T.M. Medvedeva, F.B. Paramonov, I. V. Sysoev Saratov State University,
Astrahanskaya st. 83, Saratov, 410012, Russia
Abstract:
The effect of the external measurement noise on characteristics of the Granger causality method was considered for unidirectionally coupled non-linear etalon systems in different oscillation regimes. Coupled maps with the same and different evolution operator in driving and driven systems were studied, as well as coupled flows. The nontrivial dependency of method characteristics was shown in all considered cases for certain parameters and coupling intensity. The reason why this dependency in not monotonous was found out.
Keywords:
time series, measurement noise, coupling analysis, Granger causality.
Received: 27.05.2015 Revised: 24.10.2015
Citation:
T.M. Medvedeva, F.B. Paramonov, I. V. Sysoev, “The effect of increase of the Granger causality method sensitivity with rise of a measurement noise”, Nelin. Dinam., 11:4 (2015), 657–670
Linking options:
https://www.mathnet.ru/eng/nd500 https://www.mathnet.ru/eng/nd/v11/i4/p657
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Statistics & downloads: |
Abstract page: | 224 | Full-text PDF : | 52 | References: | 73 |
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