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Uji Kausalitas Granger×Entropi Transfer×
BidangEkonometrikaInferensi Kausal
KeluargaRegression modelMachine learning
Tahun asal19692000
PencetusClive W. J. GrangerThomas Schreiber
TipeTime-series predictive causality testNon-parametric information-theoretic measure
Sumber perintisGranger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗Schreiber, T. (2000). Measuring information transfer. Physical Review Letters, 85(2), 461–464. DOI ↗
AliasGranger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik TestiSchreiber Information Transfer, Directed Information Flow, Conditional Mutual Information (directed), Transfer Entropisi
Terkait53
RingkasanThe Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.Transfer Entropy (TE) is a non-parametric, information-theoretic measure of directed statistical dependence between two time series, introduced by Thomas Schreiber in 2000. Grounded in Shannon entropy, it quantifies how much information the past of one process Y reduces uncertainty about the next state of another process X, beyond what X's own past already provides. Unlike linear correlation or Granger causality, TE captures nonlinear interactions and requires no model assumptions about the underlying dynamics.
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ScholarGateBandingkan metode: Granger Causality · Transfer Entropy. Diakses 2026-06-18 dari https://scholargate.app/id/compare