向量自回归模型granger因果图的条件互信息辨识与-控制理论与应用.pdfVIP

28 7 Vol. 28 No. 7 2011 7 Control Theory Applications Jul. 2011 :2011 Granger , , (1. , 710129; 2. , 235000) : Granger. Granger , . Granger , Granger , Granger , , . , Granger . : Granger; ; ; ; : O211.6 : A Identification and application about Granger causality graph of vector autoregressive model using conditional mutual information WEI Yue-song , TIAN Zheng , CHEN Zhan-shou (1. Department of Applied Mathematics, Northwest Polytechnical University, Xi’an Shaanxi 710129, China; 2. School of Mathematical Science, Huaibei Normal University, Huaibei Anhui 235000, China) Abstract: The Granger Causality is an important basis for measuring the dynamic relationships among system vari- ables. Traditional two-variable Granger causality analysis method is prone to inducing spurious causal relationship and can not portray the immediate causal relationship. This paper explores how to use graphical models method to analyze the Granger causal relations among components of multivariate time series. Granger causality graph of time series is presented. The structural identification of Granger causality graph is investigated based on the conditional mutual information. The conditional mutual information is estimated using the correlation integral from chaos theory. The significance of the tested statistics is determined with a permutation test. The validity of the proposed method is confirmed by simulations analysis. The Granger causal relationships of the air pollution index and the China’s stock market are investigated