在符号时间序列之间检测因果关系
Fernando Delbianco1, Federico Contiggiani2, Andrés Fioriti1
1Department of Economics and INMABB-CONICET, Universidad Nacional del Sur, San Andres 800, 8000 Bahía Blanca, Argentina.
符号时间序列分析可以掩盖或错误地表明因果关系. 像格兰杰这样的常见因果关系测试.
科学领域:
- 社会科学 社会科学 社会科学
- 经济学 经济学 经济学
- 时间序列分析时间序列分析
背景情况:
- 符号时间序列分析通过减少噪声来简化数据.
- 它旨在澄清时间序列动态的演变.
研究的目的:
- 在符号时间序列数据上评估因果关系测试的可靠性.
- 识别这些方法中的潜在故障和工件.
主要方法:
- 应用已建立的因果关系检测方法.
- 测试方法包括转移,格兰杰测试和彼得-克拉克瞬时条件独立 (PCMCI).
主要成果:
- 对符号序列的因果关系测试可能无法检测到真正的关系.
- 这些方法经常会产生虚假的因果关系发现.
- 方法性能因滞后结构,字母大小和数据特征而有所不同.
结论:
- 在从象征性时间序列解释因果关系时,建议谨慎.
- 参数的选择显著影响因果推理的有效性.
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