Anna Zaremba

affiliation not provided to SSRN

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Scholarly Papers (1)

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Statistical Causality for Multivariate Non-Linear Time Series via Gaussian Processes

Number of pages: 36 Posted: 18 Jun 2020
Anna Zaremba and Gareth Peters
affiliation not provided to SSRN and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
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Abstract:

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statistical causality, Granger causality, Generalised Likelihood Ratio Test, nested models, ARD kernel