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Testing for Granger causality relies on estimating the capacity of dynamics in one time series to forecast dynamics in another. The canonical test for such temporal predictive causality is based on fitting multivariate time series models and is cast in the classical null hypothesis testing framework. In this framework, we are limited to rejecting the null hypothesis or failing to reject the null -- we can never validly accept the null hypothesis of no Granger causality. This is poorly suited for many common purposes, including evidence integration, feature selection, and other cases where it is useful to express evidence against, rather than for, the existence of an association. Here we derive and implement the Bayes factor for Granger causality in a multilevel modeling framework. This Bayes factor summarizes information in the data in terms of a continuously scaled evidence ratio between the presence of Granger causality and its absence. We also introduce this procedure for the multilevel generalization of Granger causality testing. This facilitates inference when information is scarce or noisy or if we are interested primarily in population-level trends. We illustrate our approach with an application on exploring causal relationships in affect using a daily life study.
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Detecting Climate Teleconnections With Granger Causality
Abstract Climate system teleconnections are crucial for improving climate predictability, but difficult to quantify. Standard approaches to identify teleconnections are often based on correlations between time series. Here we present a novel method leveraging Granger causality, which can infer/detect relationships between any two fields. We compare teleconnections identified by correlation and Granger causality at different timescales. We find that both Granger causality and correlation consistently recover known seasonal precipitation responses to the sea surface temperature pattern associated with the El Niño Southern Oscillation. Such findings are robust across multiple time resolutions. In addition, we identify candidates for unexplored teleconnection responses.
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- Award ID(s):
- 1931641
- PAR ID:
- 10447316
- Publisher / Repository:
- DOI PREFIX: 10.1029
- Date Published:
- Journal Name:
- Geophysical Research Letters
- Volume:
- 48
- Issue:
- 18
- ISSN:
- 0094-8276
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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