Package org.processmining.rootcauseanalysis.algorithms.causality

Class GrangerTest

  • public class GrangerTest
extends java.lang.Object
    Implementation of Granger causality test in pure Java. It is based on linear regression implementation in Apache Commons Math.
    Author:
    Sergey Edunov Date: 06.01.11, B.F.A. Hompes (modified code to work with Apache commons-math v3+ (tested with v3.6.1) rather than v2.2)

    • Constructor Summary

      Constructors 
      Constructor Description
      GrangerTest()  

    • Method Summary

      All Methods Static Methods Concrete Methods 
      Modifier and Type Method Description
      static GrangerTestResult granger​(double[] y, double[] x, int L)
      Returns p-value for Granger causality test.
      static double sqrSum​(double[] a)  
      static double[] strip​(int l, double[] a)  

      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

    • Constructor Detail

      • GrangerTest

        public GrangerTest()

    • Method Detail

      • granger

        public static GrangerTestResult granger​(double[] y,
                                        double[] x,
                                        int L)
        Returns p-value for Granger causality test.
        Parameters:
        y - - predictable variable
        x - - predictor
        L - - lag, should be 1 or greater.
        Returns:
        p-value of Granger causality

      • sqrSum

        public static double sqrSum​(double[] a)

      • strip

        public static double[] strip​(int l,
                             double[] a)