Measuring frequency domain granger causality for multiple blocks of interacting time series

2013 ◽  
Vol 107 (2) ◽  
pp. 217-232 ◽  
Author(s):  
Luca Faes ◽  
Giandomenico Nollo
Keyword(s):  
Time Series ◽  
Frequency Domain ◽  
Granger Causality ◽  
Measuring Frequency

scholarly journals Frequency Domain Repercussions of Instantaneous Granger Causality

2021 ◽  
Author(s):  
Luiz Antonio Baccalá ◽  
Koichi Sameshima
Keyword(s):  
Time Series ◽  
Transfer Function ◽  
Frequency Domain ◽  
Granger Causality ◽  
Partial Directed Coherence ◽  
Directed Transfer Function ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Standard Vector ◽  
Domain Description

Using Directed Transfer Function (DTF) and Partial Directed Coherence (PDC) in their information version, this paper extends their theoretical framework to incorporate instantaneous Granger Causality (iGC)’s frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger Connectivity where interactions mediated without delay between time series can be easily detected.

scholarly journals Frequency Domain Repercussions of Instantaneous Granger Causality

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 1037
Author(s):  
Luiz A. Baccalá ◽  
Koichi Sameshima
Keyword(s):  
Time Series ◽  
Transfer Function ◽  
Frequency Domain ◽  
Granger Causality ◽  
Partial Directed Coherence ◽  
Directed Transfer Function ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Standard Vector ◽  
Domain Description

Using directed transfer function (DTF) and partial directed coherence (PDC) in the information version, this paper extends the theoretical framework to incorporate the instantaneous Granger causality (iGC) frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger connectivity, where interactions mediated without delay between time series can be easily detected.

scholarly journals Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Veli Yilanci ◽  
Onder Ozgur ◽  
Muhammed Sehid Gorus
Keyword(s):  
Frequency Domain ◽  
Granger Causality ◽  
Stock Prices ◽  
Economic Activity ◽  
Stock Price ◽  
Predictive Power ◽  
Oecd Countries ◽  
Causality Test ◽  
Asymmetric Shocks ◽  
Panel Granger Causality

AbstractThis study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:3. For this purpose, the study uses Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This methodology determines whether the predictive power of interested variables is concentrated on quickly, moderately, or slowly fluctuating components. Our findings show that the stock prices have predictive power for future long-term economic activity in the panel setting. However, economic activity has more reliable information for stock prices for negative components. Additionally, empirical findings for asymmetric shocks are not fully consistent with those of symmetric ones. Besides, the country-specific results provide different causal linkages across members and frequencies. These findings may provide valuable information for policymakers to design proper and effective policies in OECD countries regarding the stock market and economic activity nexus.

scholarly journals A Bootstrap Method to Test Granger-Causality in the Frequency Domain

2021 ◽  
Author(s):  
Matteo Farnè ◽  
Angela Montanari
Keyword(s):  
Stochastic Process ◽  
Frequency Domain ◽  
Granger Causality ◽  
Bootstrap Method ◽  
Money Stock ◽  
Bootstrap Test ◽  
Low Frequencies ◽  
Economic Output ◽  
Stationary Bootstrap ◽  
The Relationship

AbstractWe propose a bootstrap test for unconditional and conditional Granger-causality spectra in the frequency domain. Our test aims to detect if the causality at a particular frequency is systematically different from zero. In particular, we consider a stochastic process derived applying independently the stationary bootstrap to the original series. At each frequency, we test the sample causality against the distribution of the median causality across frequencies estimated for that process. Via our procedure, we infer about the relationship between money stock and GDP in the Euro Area during the period 1999–2017. We point out that the money stock aggregate M1 had a significant impact on economic output at all frequencies, while the opposite relationship is significant only at low frequencies.

A Frequency-Domain Filtering Technique for Triple Decomposition of Unsteady Turbulent Flow

1992 ◽  
Vol 114 (1) ◽  
pp. 45-51 ◽  
Author(s):  
G. J. Brereton ◽  
A. Kodal
Keyword(s):  
Time Series ◽  
Turbulent Flow ◽  
Frequency Domain ◽  
Measurement Data ◽  
Averaging Technique ◽  
Phase Averaging ◽  
Spectral Estimates ◽  
Improved Performance ◽  
A New Technique ◽  
Flow Variables

A new technique is presented for decomposing unsteady turbulent flow variables into their organized unsteady and turbulent components, which appears to offer some significant advantages over existing ones. The technique uses power-spectral estimates of data to deduce the optimal frequency-domain filter for determining the organized and turbulent components of a time series of data. When contrasted with the phase-averaging technique, this method can be thought of as replacing the assumption that the organized motion is identically reproduced in successive cycles of known periodicity by a more general condition: the cross-correlation of the organized and turbulent components is minimized for a time series of measurement data, given the expected shape of the turbulence power spectrum. The method is significantly more general than the phase average in its applicability and makes more efficient use of available data. Performance evaluations for time series of unsteady turbulent velocity measurements attest to the accuracy of the technique and illustrate the improved performance of this method over the phase-averaging technique when cycle-to-cycle variations in organized motion are present.

A Novel Solution to Compute Stress Time Series in Nonlinear Hydro-Structure Simulations

2015 ◽  
Author(s):  
Fabien Bigot ◽  
François-Xavier Sireta ◽  
Eric Baudin ◽  
Quentin Derbanne ◽  
Etienne Tiphine ◽  
...  
Keyword(s):  
Time Series ◽  
Frequency Domain ◽  
Time Domain ◽  
Hot Spot ◽  
Structural Response ◽  
Container Ship ◽  
Time Step ◽  
Computation Cost ◽  
Hull Girder ◽  
Non Linear

Ship transport is growing up rapidly, leading to ships size increase, and particularly for container ships. The last generation of Container Ship is now called Ultra Large Container Ship (ULCS). Due to their increasing sizes they are more flexible and more prone to wave induced vibrations of their hull girder: springing and whipping. The subsequent increase of the structure fatigue damage needs to be evaluated at the design stage, thus pushing the development of hydro-elastic simulation models. Spectral fatigue analysis including the first order springing can be done at a reasonable computational cost since the coupling between the sea-keeping and the Finite Element Method (FEM) structural analysis is performed in frequency domain. On the opposite, the simulation of non-linear phenomena (Non linear springing, whipping) has to be done in time domain, which dramatically increases the computation cost. In the context of ULCS, because of hull girder torsion and structural discontinuities, the hot spot stress time series that are required for fatigue analysis cannot be simply obtained from the hull girder loads in way of the detail. On the other hand, the computation cost to perform a FEM analysis at each time step is too high, so alternative solutions are necessary. In this paper a new solution is proposed, that is derived from a method for the efficient conversion of full scale strain measurements into internal loads. In this context, the process is reversed so that the stresses in the structural details are derived from the internal loads computed by the sea-keeping program. First, a base of distortion modes is built using a structural model of the ship. An original method to build this base using the structural response to wave loading is proposed. Then a conversion matrix is used to project the computed internal loads values on the distortion modes base, and the hot spot stresses are obtained by recombination of their modal values. The Moore-Penrose pseudo-inverse is used to minimize the error. In a first step, the conversion procedure is established and validated using the frequency domain hydro-structure model of a ULCS. Then the method is applied to a non-linear time domain simulation for which the structural response has actually been computed at each time step in order to have a reference stress signal, in order to prove its efficiency.

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