Marie-Christine Düker

RKHS-Based Inference for Nonlinear Granger Causality via Conditional Centering

Granger causality is commonly formulated through linear prediction in vector autoregressive models, limiting its ability to detect nonlinear predictive relationships. We propose a reproducing kernel Hilbert space (RKHS)-based test for nonlinear Granger non-causality in conditional mean for nonlinear autoregressive proc...