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Ali Shojaie, Emily B. Fox
Introduced more than a half-century ago, Granger causality has become a popular tool for analyzing time series data in many application domains, from economics and finance to genomics and neuroscience. Despite this popularity, the validity of this framework for inferring causal relationships among time series has remained the topic of continuous debate. Moreover, while the original definition was general, limitations in computational tools have constrained the applications of Granger causality to primarily simple bivariate vector autoregressive processes. Starting with a review of early developments and debates, this article discusses recent advances that address various shortcomings of the earlier approaches, from models for high-dimensional time series to more recent developments that account for nonlinear and non-Gaussian observations and allow for subsampled and mixed-frequency time series.
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Shojaie, A., & Fox, E. B. (2021). Granger Causality: A Review and Recent Advances. Annual Review of Statistics and Its Application, 9(1), 289–319. https://doi.org/10.1146/annurev-statistics-040120-010930
Shojaie, Ali, and Emily B. Fox. "Granger Causality: A Review and Recent Advances." Annual Review of Statistics and Its Application, vol. 9, no. 1, 2021, pp. 289–319, https://doi.org/10.1146/annurev-statistics-040120-010930.
Shojaie, Ali, and Emily B. Fox. "Granger Causality: A Review and Recent Advances." Annual Review of Statistics and Its Application 9, no. 1 (2021): 289–319. https://doi.org/10.1146/annurev-statistics-040120-010930.
Shojaie A., Fox E. B. Granger Causality: A Review and Recent Advances // Annual Review of Statistics and Its Application. — 2021. — Vol. 9, № 1. — P. 289–319. — URL: https://doi.org/10.1146/annurev-statistics-040120-010930
@article{shojaie2021granger,
title = {{Granger Causality: A Review and Recent Advances}},
author = {Ali Shojaie and Emily B. Fox},
journal = {Annual Review of Statistics and Its Application},
year = {2021},
volume = {9},
number = {1},
pages = {289--319},
doi = {10.1146/annurev-statistics-040120-010930},
url = {https://doi.org/10.1146/annurev-statistics-040120-010930}
}TY - JOUR AU - Shojaie, Ali AU - Fox, Emily B. TI - Granger Causality: A Review and Recent Advances JO - Annual Review of Statistics and Its Application VL - 9 IS - 1 SP - 289 EP - 319 PY - 2021 DA - 2021/11/17 DO - 10.1146/annurev-statistics-040120-010930 UR - https://doi.org/10.1146/annurev-statistics-040120-010930 ER -
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