distance_matrix_CGCI {AnomalyScore} | R Documentation |
Pairwise distance matrix based on the conditional Granger causality index
Description
Pairwise distance matrix of a multivariate time series based on the the conditional Granger causality index distance between two series
Usage
distance_matrix_CGCI(unit, pmax)
Arguments
unit |
A matrix representing a multivariate time series where each column is a univariate time series. |
pmax |
maximum order(lag) of the VAR model to be considered |
Value
a matrix with pairwise distances
See Also
Siggiridou, Elsa, and Dimitris Kugiumtzis. "Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model." IEEE Transactions on Signal Processing 64, no. 7 (April 2016): 1759-73. doi:10.1109/TSP.2015.2500893
Examples
X=matrix( rnorm(2000), ncol=10 )
pmax=4
distance_matrix_CGCI(unit=X, pmax)
[Package AnomalyScore version 0.1 Index]