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

Russian journal of nonlinear dynamics, Tome 11 (2015) no. 4, pp. 657-670.

Résumé

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.

Détail

Keywords: time series, measurement noise, coupling analysis, Granger causality.

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