Takahashi, Daniel Yasumasa; Baccal, Luiz Antonio; … - In: Journal of Applied Statistics 34 (2007) 10, pp. 1259-1273
This paper describes the rigorous asymptotic distributions of the recently introduced partial directed coherence (PDC) - a frequency domain description of Granger causality between multivariate time series represented by vector autoregressive models. We show that, when not zero, PDC is...