Toolkit for Discovering Directional Influences in Time Series Data with Granger Causality

by Tian Linger Xu

STEPS to use this toolkit:

1. Download a clone of this toolkit to your own labtop. You can click the green button Clone or download to download a ZIP file. Or, if you use Git Bash, simply type in:

git clone https://github.com/lingerxu/granger_point_process.git

2. Open Matlab and set your working path to the folder containing the downloaded toolkit.

3. Open a demo*.m file, start running!

My presentation slides on the introduction of Granger Causality and detailed explanation on how to calculate Granger Causality in a multimodal infant-parent interaction dataset can be found here: Discovering Temporal Dependencies and Directional Influences in Multimodal Time Series with Granger Causality.

This folder has several relevant papers on this technique.