Granger Causality Analysis Based on Quantized Minimum Error Entropy Criterion.

Linear regression model (LRM) based on mean square error (MSE) criterion is widely used in Granger causality analysis (GCA), which is the most commonly used method to detect the causality between a pair of time series. However, when signals are seriously contaminated by non-Gaussian noises, the LRM coefficients will be inaccurately identified. This may cause the GCA to detect a wrong causal relati...