arahatashun / Granger-causality-python

Port of Granger-causality

Granger_causality

This respository translates the Granger-causality repository of USC-Melady to python.

Prerequisites

Glmnet for python

pip install glmnet_py
sudo apt-get install libgfortran3

Reference

Paper: A. Arnold, Y. Liu, and N. Abe. Temporal causal modeling with graphical granger methods. In KDD, 2007. Available at https://www.andrewoarnold.com/frp781-arnold.pdf