國立中央大學 統計研究所
學術演講
主講人：洪英超教授（國立政治大學統計學系）
講 題：A Trimmed Causal Relationship Between Two Groups of Time Series
時 間：101年10月16日（星期二）上午11：00 ～ 11：50
地 點：中央大學鴻經館 605 室
茶 會：上午 10：30 ～ 11：00 地 點：鴻經館 510 室
ABSTRACT
We introduce a new structural relationship between two groups of time series in the context of Vector Autoregression (VAR) models. By extending the idea of conventional Granger causality, we introduce how to extract “important variables” in both groups of time series so that a “trimmed causal relationship” can be presented by using minimal data information. When the parameters of the VAR model are known, we provide explicit solutions for this problem. When the parameters are unknown, a statistical hypothesis testing procedure is introduced to determine the solution. Some real examples are used to illustrate the proposed new causal relationship.