Bayesian Testing Of Granger Causality In Functional Time Series
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2021
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| _version_ | 1866911890289983488 |
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| author | Sen, Rituparna Majumdar, Anandamayee Sikaria, Shubhangi |
| author_facet | Sen, Rituparna Majumdar, Anandamayee Sikaria, Shubhangi |
| contents | We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear models (DLM) framework. In order to capture Granger causality from one FAR series to another we employ Bayes Factor. Motivated by the broad application of functional data in finance, we investigate the causality between the yield curves of two countries. Furthermore, we illustrate a climatology example, examining whether the weather conditions Granger cause pollutant daily levels in a city. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2112_15315 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Bayesian Testing Of Granger Causality In Functional Time Series Sen, Rituparna Majumdar, Anandamayee Sikaria, Shubhangi Methodology Statistical Finance Applications We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear models (DLM) framework. In order to capture Granger causality from one FAR series to another we employ Bayes Factor. Motivated by the broad application of functional data in finance, we investigate the causality between the yield curves of two countries. Furthermore, we illustrate a climatology example, examining whether the weather conditions Granger cause pollutant daily levels in a city. |
| title | Bayesian Testing Of Granger Causality In Functional Time Series |
| topic | Methodology Statistical Finance Applications |
| url | https://arxiv.org/abs/2112.15315 |