Toolkit for Discovering Directional Influences in Time Series Data with Granger Causality
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
gcause_libs
relevant_papers
2018_Gcause_slides_xu.pdf
Gcause_demo_with_Simulated_data_with_frequency_10_response_window_50_success_rate_0.8.png
Gcause_demo_with_Simulated_data_with_frequency_20_response_window_30_success_rate_0.8.png
Gcause_demo_with_Simulated_data_with_one_leading_one_following_relations.png
Gcause_demo_with_Simulated_data_with_two_leading_relations.png
Gcause_demo_with_Simulated_random_data.png
README.md
Simulated_data_with_frequency_10_response_window_50_success_rate_0.8.png
Simulated_data_with_frequency_20_response_window_30_success_rate_0.8.png
Simulated_data_with_one_leading_one_following_relations.png
Simulated_data_with_two_leading_relations.png
Simulated_random_data.png
demo_granger_causality.m
demo_granger_causality2.m
demo_granger_causality3.m
demo_granger_causality_random.m

README.md

Toolkit for Discovering Directional Influences in Time Series Data with Granger Causality

by Tian Linger Xu

STEPS to use this toolkit:

  1. Download a clone of this toolkit to your own labtop. You can click the green button Clone or download to download a ZIP file. Or, if you use Git Bash, simply type in:
git clone https://github.com/lingerxu/granger_point_process.git
  1. Open Matlab and set your working path to the folder containing the downloaded toolkit.

  2. Open a demo*.m file, start running!

My presentation slides on the introduction of Granger Causality and detailed explanation on how to calculate Granger Causality in a multimodal infant-parent interaction dataset can be found here: Discovering Temporal Dependencies and Directional Influences in Multimodal Time Series with Granger Causality.

This folder has several relevant papers on this technique.