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granger格蘭杰因果校驗matlab實現, 有注釋....
代碼片段和文件信息
function?[Fc_vp]?=?granger_cause(xyalphamax_lag)
%?[Fc_v]?=?granger_cause(xyalphamax_lag)
%?Granger?Causality?test
%?Does?Y?Granger?Cause?X?
%
%?User-Specified?Inputs:
%???x?--?A?column?vector?of?data
%???y?--?A?column?vector?of?data
%???alpha?--?the?significance?level?specified?by?the?user
%???max_lag?--?the?maximum?number?of?lags?to?be?considered
%?User-requested?Output:
%???F?--?The?value?of?the?F-statistic
%???c_v?--?The?critical?value?from?the?F-distribution
%
%?The?lag?length?selection?is?chosen?using?the?Bayesian?information
%?Criterion?
%?Note?that?if?F?>?c_v?we?reject?the?null?hypothesis?that?y?does?not
%?Granger?Cause?x
%?Chandler?Lutz?UCR?2009
%?Questions/Comments:?chandler.lutz@email.ucr.edu
%?$Revision:?1.0.0?$??$Date:?09/30/2009?$
%?$Revision:
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