Granger causality using Jacobian in neural networks

• المؤلفون الرئيسيون: Suryadi, Chew, Lock Yue, Ong, Yew Soon
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Engineering::Computer science and engineering; Causal Modeling; Target Variable
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/165593
• المؤسسة: 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...