Assessing the significance of directed and multivariate measures of linear dependence between time series

Oliver M. Cliff,Leonardo Novelli,Ben D. Fulcher,James M. Shine,Joseph T. Lizier

Assessing the significance of directed and multivariate measures of linear dependence between time series

2021

Oliver M. Cliff
Leonardo Novelli
Ben D. Fulcher
James M. Shine
Joseph T. Lizier

The authors present modified hypothesis tests for directed and multivariate linear dependence measures that account for autocorrelation in linear-Gaussian processes.

Keywords:

Statistical hypothesis testing
Multivariate statistics
Mathematics
Statistics
Autocorrelation

Correction
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