Dimension Reduction of Polynomial Regression Models for the Estimation of Granger Causality in High-Dimensional Time Series

Elsa Siggiridou, Dimitris Kugiumtzis. Dimension Reduction of Polynomial Regression Models for the Estimation of Granger Causality in High-Dimensional Time Series. IEEE Transactions on Signal Processing, 69:5638-5650, 2021. [doi]

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