Nonlinear Granger Causality using Kernel Ridge Regression
基于核岭回归的非线性格兰杰因果分析
I introduce a novel algorithm and accompanying Python library, named mlcausality, designed for the identification of nonlinear Granger causal relationships. This novel algorithm uses a flexible plug-in architecture that enables researchers to employ any nonlinear regressor as the base prediction model. Subsequently, I conduct a comprehensive performance analysis of mlcausality when the prediction regressor is the kernel ridge regressor with the radial basis function kernel.…