Chapter

A comprehensive causality test based on the singular spectrum analysis

Hossein Hassani, Anatoly Zhigljavsky, Kerry Patterson and Abdol S. Soofi

in Causality in the Sciences

Published in print March 2011 | ISBN: 9780199574131
Published online September 2011 | e-ISBN: 9780191728921 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199574131.003.0018
A comprehensive causality test based on the singular spectrum analysis

Show Summary Details

Preview

This chapter considers the concept of causal relationship between two time series based on the singular spectrum analysis. it introduces several criteria which characterize this causality. The criteria are based on the forecasting accuracy and the predictability of the direction of change. The performance of the proposed tests is examined using different real time series.

Keywords: causality; singular spectrum analysis; time series; forecasting

Chapter.  13101 words.  Illustrated.

Subjects: Logic

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.