Partial Directed Coherence and the Vector Autoregressive Modelling Myth and a Caveat

02/01/2022

∙

by   Luiz Antonio Baccalá, et al.

∙

0

∙

share

Here we dispel the lingering myth that Partial Directed Coherence is a Vector Autoregressive (VAR) Modelling dependent concept. In fact, our examples show that it is spectral factorization that lies at its heart, for which VAR modelling is a mere, albeit very efficient and convenient, device. This applies to Granger Causality estimation procedures in general and also includes instantaneous Granger effects. Care, however, must be exercised for connectivity between multivariate data generated through nonminimum phase mechanisms as it may possibly be incorrectly captured.