Granger causality using Jacobian in neural networks

• Main Authors: Suryadi, Chew, Lock Yue, Ong, Yew Soon
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2023
• Subjects: Engineering::Computer science and engineering; Causal Modeling; Target Variable
• Online Access: https://hdl.handle.net/10356/165593
• Institution: Nanyang Technological University

Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here, we introduce JGC (Jacobian Granger causality), a neural network-based approach to Granger causality using the Jacobian as a measure of variable importance, and propose a variable sele...