Dynamic Functional Principal Components for Testing Causality
Keyword(s):
In this paper, we investigate the causality in the sense of Granger for functional time series. The concept of causality for functional time series is defined, and a statistical procedure of testing the hypothesis of non-causality is proposed. The procedure is based on projections on dynamic functional principal components and the use of a multivariate Granger test. A comparative study with existing procedures shows the good results of our test. An illustration on a real dataset is provided to attest the performance of the proposed procedure.
2013 ◽
Vol 123
(5)
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pp. 1546-1562
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2018 ◽
Vol 39
(4)
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pp. 502-522
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2009 ◽
Vol 95
(3-4)
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pp. 97-118
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Keyword(s):