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Comparison of Resampling Techniques for the Non-causality Hypothesis

  • Angeliki Papana
  • Catherine Kyrtsou
  • Dimitris Kugiumtzis
  • Cees G. H. Diks
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 114)

Abstract

Different resampling schemes for the null hypothesis of non-causality are assessed. As test statistic the partial transfer entropy (PTE), an information and model-free measure, is used. Two resampling methods, (1) the time shifted surrogates and (2) the stationary bootstrap, are combined with the following three independence settings (giving in total six resampling schemes), all consistent with the null hypothesis of non-causality: (a) only the driving variable is resampled, (b) both the driving and response variable are resampled, and (c) both the driving and response variable are resampled while also the dependence of the future of the response variable and the vector of its past values is destroyed. The empirical null distribution of the PTE as the surrogate and bootstrapped time series become more independent is examined along with the size and power of the respective tests.

Keywords

Granger Causality Multivariate System Transfer Entropy Resampling Method Stationary Bootstrap 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgements

The research project is implemented within the framework of the Action “Supporting Postdoctoral Researchers” of the Operational Program “Education and Lifelong Learning” (Action’s Beneficiary: General Secretariat for Research and Technology), and is co-financed by the European Social Fund (ESF) and the Greek State.

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Angeliki Papana
    • 1
  • Catherine Kyrtsou
    • 2
    • 3
    • 4
  • Dimitris Kugiumtzis
    • 5
  • Cees G. H. Diks
    • 6
  1. 1.University of MacedoniaThessalonikiGreece
  2. 2.University of MacedoniaThessalonikiGreece
  3. 3.University of Strasbourg, BETAStrasbourgFrance
  4. 4.University of Paris 10, EconomixISC-ParisIle-de-France
  5. 5.Department of Electrical and Computer EngineeringAristotle University of ThessalonikiThessalonikiGreece
  6. 6.Center for Nonlinear Dynamics in Economics and Finance (CeNDEF)University of AmsterdamAmsterdamThe Netherlands

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