granger-causality

There are 3 repositories under granger-causality topic.

• majianthu / pycopent

  Estimating Copula Entropy (Mutual Information), Transfer Entropy (Conditional Mutual Information), and the statistics for multivariate normality test and two-sample test, and change point detection in Python

  copula-entropymutual-informationcausal-discoveryvariable-selectiongranger-causalitytransfer-entropycorrelationnormality-testinformation-theorycausalitypythoncopulahypothesis-testingtwo-sample-testconditional-independence-testconditional-mutual-informationchange-point-detectionentropychange-detectionchangepoint
  Language:Python 134

• dgwozdz / HN_SO_analysis

  Is there a relationship between popularity of a given technology on Stack Overflow (SO) and Hacker News (HN)? And a few words about causality

  pythonhackernewsstackoverflowedaexploratory-data-analysisgranger-causalityrelationship
  Language:Python 97

• mrosol / Nonlincausality

  Python package for Granger causality test with nonlinear forecasting methods.

  causality-analysisgranger-causalitynonlinear-modelspythoncausalitycausality-testnonlinear-causalitypredictiontime-seriesforecastingneural-networksrecurrent-neural-networksmultilayer-perceptron-networklstm-neural-networksgru-neural-networks
  Language:Python 62

• i6092467 / GVAR

  An interpretable framework for inferring nonlinear multivariate Granger causality based on self-explaining neural networks.

  machine-learninginterpretable-modelstime-series-analysisgranger-causality-analysisautoregressive-neural-networkscausalitygranger-causality
  Language:Python 59

• DarkEyes / VLTimeSeriesCausality

  A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.

  causal-inferencetransfer-entropygranger-causalitytime-series-analysistime-series
  Language:R 45

• majianthu / copent

  R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test

  copulaentropyestiamtionmutualinfcopula-entropycausal-discoveryvariable-selectiontransfer-entropygranger-causalitycorrelationnormality-testinformation-theorymutual-informationrmachine-learningcausalitytwo-sample-testconditional-independence-testconditional-mutual-information
  Language:R 38

• majianthu / transferentropy

  Code for the paper "Estimating Transfer Entropy via Copula Entropy"

  granger-causalitycopula-entropytransfer-entropytime-series-analysisconditional-independencecausal-discovery
  Language:R 37

• h-cel / ClimateVegetationDynamics_GrangerCausality

  Source code for the publications on "a non-linear Granger-causality framework to investigate climate–vegetation dynamics", by Papagiannopoulou et al., GMD & ERL 2017

  climategranger-causalityvegetationsciencesatellite
  Language:Python 27

• sakhanna / SRU_for_GCI

  Statistical Recurrent Unit based time series generative models for detecting nonlinear Granger causality

  granger-causalityrecurrent-neural-networks
  Language:Python 25

• xchuwenbo / realseries

  RealSeries is a comprehensive out-of-the-box Python toolkit for various tasks, including Anomaly Detection, Granger causality and Forecast with Uncertainty, of dealing with Time Series Datasets.

  anomaly-detectionforecastinggranger-causalitytime-series
  Language:Jupyter Notebook 21

• MajorLift / volatility-modeling-python-datasci

  Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."

  arima-forecastingdata-sciencedata-vizualizationfinancial-engineeringgarch-modelgranger-causalityjupyter-notebooknumpypandaspyplotpython3regression-modelsresearch-paperrisk-modellingscipy-statsseabornstatsmodelstime-series-analysisvalue-at-riskvolatility-modeling
  Language:HTML 18

• olivercliff / assessing-linear-dependence

  A package to compute and test the significance of linear dependence between multiple autocorrelated time series.

  time-series-analysismutual-informationgranger-causalityautocorrelation
  Language:MATLAB 17

• dykang / cgraph

  dataset for Detecting and Explaining Causes From Text For a Time Series Event, EMNLP'17

  causal-explanationcausalityexplanationgranger-causalitynatural-language-generationnatural-language-processingtime-series
  Language:Shell 14

• i6092467 / NNGC-SLIMMBA

  Nonlinear Granger causality inference with neural networks for high-resolution mass spectrometry

  granger-causalityinferencemachine-learningmass-spectrometrymetabolomicsneural-networkstime-seriestime-series-analysis
  Language:Python 13

• gitter-lab / SINGE

  Gene regulatory network reconstruction from pseudotemporal single-cell gene expression data

  regulatory-networksingle-cell-rna-seqgranger-causality
  Language:MATLAB 11

• gulabpatel / TimeSeries

  Arima, Sarima, LSTM, Prophet, DeepAR, Kats, Granger-causality, Autots

  arimaautoarimaautotsdartsdeeparfbprophetgranger-causalityholtwinterskatslstmmoving-averagemultiple-time-seriesmultivariate-analysisprophetsarimasarimaxtime-seriestimeseries
  Language:Jupyter Notebook 8

• anitamezzetti / covid_impact_stocks_volatility

  Financial Big Data (FIN-525) final project: The Impact of COVID-19 on Returns and Volatility: a case study of the United States, China, Switzerland and Japan

  big-datacovid-19covidswitzerlandchinausajapanintraday-datastock-marketcovid-analysisgranger-causality
  Language:Jupyter Notebook 7

• arahatashun / Granger-causality-python

  Port of Granger-causality

  pythonmachine-learninggranger-causality
  Language:Python 7

• pdesrosiers / GrangerCausality

  MATLAB module for assessing the causal links between time series

  timeseries-analysisnetwork-inferencecomputational-neurosciencegranger-causalitycausality-analysis
  Language:MATLAB 6

• jeckonov / Econometrics

  Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)

  filtershodrick-prescott-filterkalmanfiltercommoditiesgasolinemovingaveragevectorautoregressionstationaritygranger-causalityeconometrics
  Language:Jupyter Notebook 4

• AlgoTrading101 / Econometrics-on-Stock-Data

  R finance guide - Algotrading101

  algotrading101cointegrationcorrelationfinancefinancial-analysisgranger-causalityrstationaritystocktime-seriestimeseries
  Language:R 3

• BabadiLab / NLGC

  Network Localized Granger Causality

  granger-causalitymeg
  Language:Python 3

• GianlucaCarpigo / VECM

  An R package to implement VEC models

  cointegrationeconometricsmultivariate-timeseriesvecmforecastinggranger-causality
  Language:R 3

• marcaureledivernois / firm-network

  Source code, data and plots for our paper "Analysis of Large Market Data Using Neural Networks: A Causal Approach"

  granger-causalitynetwork-analysisrecurrent-neural-networksystemic-risk
  Language:Python 3

• MessianNil / MSThesis

  Documents related to my Master's thesis @IISc.

  thesisthesis-defensethesis-slidesthesis-papermachine-learninggranger-causalityfeature-selectiontime-series-analysis
  3

• nutansahoo / Time-Series-Analysis-of-GDP

  cointegrationgdpgranger-causalitytimeseries-analysisvecm
  3

• Oprishri / Stock-market-movement-by-analying-tweets

  granger-causalitysentiment-analysistcs-stock-market-datatwitter-apitwitter-sentiment-analysis
  Language:Jupyter Notebook 3

• GeorgeMichailidis / vae-multi-level-neural-GC-official

  Code repository for "A VAE-based Framework for Learning Multi-Level Neural Granger-causal Connectivity"

  deep-learninggranger-causalityjoint-estimationvariational-autoencoder
  Language:Python 2

• mrchocha / CSE523-Machine-Learning-Fantastic-4

  Extracting features from the tweets and the financial data and correlating them and inferring fruitful conclusions about the future prices.

  arimanlpgranger-causalityfteststock-marketsforecastingsentiment-analysisregressionscikit-learn
  Language:Jupyter Notebook 2

• sokolmarek / masters-thesis

  Master's thesis - Assessment of cognitive load in extreme environment

  biosignalscapsule-networkcognitive-neurosciencecopulaselectrocardiographyelectrodermal-activitygramian-angular-fieldsgranger-causalitymachine-learningneural-networkrespirationspace
  Language:Jupyter Notebook 2

• FrancescoInnocenti / fc-simulations

  Simulations of different functional connectivity measures.

  computational-neurosciencefunctional-connectivitygranger-causality
  Language:Python 1

• jclaros27 / Granger-Causality

  Bivariate Granger Causality in Python

  pythongranger-causalitygranger-causality-ratio
  Language:Python 1

• jeff1evesque / ist-exit-portfolio

  MS Data Science exit portfolio

  arimabag-of-wordsbeautifulsoupjupyter-notebooklstmmatplotlibnaive-bayesnltkpandasparts-of-speechrandom-forestreticulateshinydashboardsklearntensorflowdockergranger-causalitylatent-dirichlet-allocationefficient-frontier
  1

• LauraSparacino / GICA_toolbox

  Granger Causality (GC), Granger Isolation (GI) and Granger Autonomy (GA) for the assessment of bivariate causal and non-causal interactions in linear autoregressive processes.

  autoregressive-modelsgranger-causalitylinear-regressiontime-series-analysisgranger-autonomygranger-isolation
  Language:MATLAB 1

• m-m-placek / python-icmplus-granger-causality

  Python-ICM+ Granger causality

  pythongranger-causalityicmplus
  Language:Python 1

• MontiSebastiano / Info_th

  Final group project of "Information Theory and Inference" course at University of Padova

  cryptocurrenciesgranger-causalitytransfer-entropy
  Language:Jupyter Notebook 1