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Article Dans Une Revue Signals Année : 2021

Dynamic Functional Principal Components for Testing Causality

Matthieu Saumard
Bilal Hadjadji
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Résumé

In this paper, we investigate the causality in the sense of Granger for functional time series. The concept of causality for functional time series is defined, and a statistical procedure of testing the hypothesis of non-causality is proposed. The procedure is based on projections on dynamic functional principal components and the use of a multivariate Granger test. A comparative study with existing procedures shows the good results of our test. An illustration on a real dataset is provided to attest the performance of the proposed procedure.
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Dates et versions

hal-03252918 , version 1 (08-06-2021)

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Matthieu Saumard, Bilal Hadjadji. Dynamic Functional Principal Components for Testing Causality. Signals, 2021, 2 (2), pp.353-365. ⟨10.3390/signals2020022⟩. ⟨hal-03252918⟩
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