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The effect of filtering on Granger causality derived multivariate measures
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Journal Article
The effect of filtering on Granger causality derived multivariate measures
2009
Overview
While oversampling of the data poses no problem, decimation by a factor greater than the minimum time lag or one that is not a common divisor of the lag may lead to erroneous inferences. [...]as the true lag structure is usually unknown, it seems advisable to proceed with a higher autoregressive model order rather than to decimate.
Publisher
Elsevier Inc,Elsevier Limited
Subject
