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granger格兰杰因果校验matlab实现, 有注释....
代码片段和文件信息
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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