gpuGranger {gputools}R Documentation

Perform Granger Causality Tests for Vectors on a GPU

Description

This function performs, with the aid of a GPU, Granger Causality Tests on permutations of pairs of columns of the input matrix 'varCols'.

Usage

        gpuGranger(varCols, lag)

Arguments

varCols a matrix of floating point values. Each column represents a sequence of observations for a single random variable.
lag a positive integer by which to offset the sequence of observations to calculate the coefficient for Granger causality.

Value

a two column matrix of floating point values. The first column is F-statistic from the Granger causality test. The second column is a rough estimation of the p-value for the F-statistic of the same row. Note that the p-values for F-statistics greater than magnitude one differ from that calculated by the package MSBVAR's 'granger.test'.
To find the Granger causality F-statistic estimating the answer to "Does variable j Granger-cause variable i?", look at entry $(i-1)*n - 1) + k$, where $k = j$ if $j < i$ and $k = j-1$ if $j > i$ where $n$ is nrow(varCols).

Examples

numRandVars <- 5
numSamples <- 20
randVarSequences <- matrix(runif(numRandVars*numSamples), numSamples, 
        numRandVars)
gpuGranger(randVarSequences, 5)

[Package gputools version 0.1-0 Index]