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ISSN 2542-1905 (Online)

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Kornilov M. V., Sysoev I. V. Influence of the choice of the model structure for working capacity of nonlinear Granger causality approach. Izvestiya VUZ. Applied Nonlinear Dynamics, 2013, vol. 21, iss. 2, pp. 74-87. DOI: 10.18500/0869-6632-2013-21-2-74-87

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530.182, 51-73

Influence of the choice of the model structure for working capacity of nonlinear Granger causality approach

Kornilov Maksim Vyacheslavovich, Saratov State University
Sysoev Ilya Vyacheslavovich, Saratov State University

Currently, the method of nonlinear Granger causality is actively used in many applications in medicine, biology, physics, to identify the coupling between objects from the records of their oscillations (time series) using forecasting models. In this paper the impact of choosing the model structure on the method performance is investigated. The possibility of obtaining reliable estimates of coupling is numerically demonstrated, even if the structure of the constructed forecasting model differs from that of the reference system

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