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Activity Number:
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92
- Time Series and Finance
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Type:
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Contributed
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Date/Time:
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Monday, August 9, 2021 : 10:00 AM to 11:50 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #318217
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Title:
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Mutual Information, Granger Causality, and Point Processes
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Author(s):
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Victor Solo* and Ahmed Pasha
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Companies:
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UNSW, Sydney and Air University
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Keywords:
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point process;
mutual information;
Hawkes process
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Abstract:
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Based on mutual information we exhibit a non-linear generalization of Geweke's Gaussian time series directional measures of Granger causality. We use these results to motivate a directional decomposition for a bivariate point process.
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Authors who are presenting talks have a * after their name.
