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Causality in multiple time series
 Kusenda, Ondrej ; Pešta, Michal (advisor) ; Cipra, Tomáš (referee)
The bachelor thesis describes causality in multiple time series. Mul- tiple time series are formulated by using vector autoregressive models (VAR). The general properties of the VAR model are defined in the thesis . Model cre- ation involves VAR order selection, estimation of its parameters and checking the properties of the VAR model. The basic concepts of the Granger and instan- taneous Granger causality and theorems for the classification of these relations are defined in the thesis. Tests for the Granger and instantaneous Granger causality are described on suitable models. Subsequently, theoretical knowledge is applied to real data, which are available in the database in the program R. The practical part of the bachelor thesis is performed in the program R. 1
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