RKHS-Based Inference for Nonlinear Granger Causality via Conditional Centering
通过条件中心化进行非线性 Granger 因果的 RKHS 推断AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要以非线性自回归过程、变量历史的增量预测信息及 Granger 非因果检验为核心,直接对应时间序列计量方向。
通过条件中心化进行非线性 Granger 因果的 RKHS 推断AI 解读 ↓
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Granger causality is commonly formulated through linear prediction in vector autoregressive models, limiting its ability to detect nonlinear predictive relationships. We propose a reproducing kernel Hilbert space (RKHS)-based test for nonlinear Granger non-causality in conditional mean for nonlinear autoregressive processes. The key idea is a conditional-centering decomposition of the target regression function into an own-history component and an orthogonal component capturing the additional predictive contribution of the potential source history. Non-causality is characterized by the vanishing of the latter component. The own-history component is estimated by kernel ridge regression, and the residuals are embedded in a second RKHS using a conditionally centered kernel. This yields an RKHS-valued residual moment whose squared norm forms the test statistic. We establish a weighted chi-square null limit and consistency against fixed alternatives for the population-centered statistic. An empirically centered version is shown to retain the null limit and enables spectral calibration of critical values and $p$-values without resampling. Simulation studies demonstrate accurate size control and power against nonlinear alternatives, and real-data applications illustrate the usefulness of the method for detecting nonlinear predictive relationships in time series.
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