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瞬时与积分协方差特征值结构的检验AI 解读

For vector Itô semimartingale dynamics, we derive the asymptotic distributions of likelihood-ratio-type test statistics for the purpose of identifying the eigenvalue structure of both integrated and spot covariance matrices estimated using high-frequency data. Unlike the existing approaches where the cross-section dimension grows to infinity, our tests do not necessarily require large cross-section and thus allow for a wide range of applications. The tests, however, are…

分位数格兰杰因果性的度量AI 解读

We consider measures of Granger causality in quantiles, which detect and quantify both linear and nonlinear causal effects between random variables. The measures are based on nonparametric quantile regressions and defined as logarithmic functions of restricted and unrestricted expectations of quantile check loss functions. They can consistently be estimated by replacing the unknown expectations of check loss functions by their nonparametric kernel estimates. We derive a…

均值中非线性Granger因果性的度量AI 解读

We propose model-free measures for Granger causality in mean between random variables. Unlike the existing measures, ours are able to detect and quantify nonlinear causal effects. The new measures are based on nonparametric regressions and defined as logarithmic functions of restricted and unrestricted mean square forecast errors. They are easily and consistently estimated by replacing the unknown mean square forecast errors by their nonparametric kernel estimates. We derive…

基于条件密度的Granger因果度量：非参数估计与推断AI 解读

We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. Thereafter, we suggest consistent estimators for these measures based on a consistent nonparametric estimator of copula densities. Furthermore, we establish the asymptotic normality of these nonparametric estimators and discuss the…

基于Copula的非参数条件独立检验及其格兰杰因果应用AI 解读

This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison of copula densities, the test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in general settings since there is no restriction on the dimension of the time series data. In fact, to apply the test, only a bandwidth is needed for the nonparametric…

短期与长期因果度量：理论与推断AI 解读

The concept of causality introduced by Wiener [Wiener, N., 1956. The theory of prediction, In: E.F. Beckenback, ed., The Theory of Prediction, McGraw-Hill, New York (Chapter 8)] and Granger [Granger, C. W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37, 424-459] is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at any given horizon h as well as tests for…