1 resultado para Teste de causalidade de Granger

em Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP)


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We propose a likelihood ratio test ( LRT) with Bartlett correction in order to identify Granger causality between sets of time series gene expression data. The performance of the proposed test is compared to a previously published bootstrapbased approach. LRT is shown to be significantly faster and statistically powerful even within non- Normal distributions. An R package named gGranger containing an implementation for both Granger causality identification tests is also provided.