VAR-LiNGAM (Vector Autoregressive Linear Non-Gaussian Acyclic Model)
On this page you can find R code to estimate a VAR-LiNGAM model and replicate the results of the paper:
A. Moneta, D. Entner, P.O. Hoyer, and A. Coad (submitted)
Causal Inference by Independent Component Analysis: Theory and Applications
Software
The R code can be found here.
Further literature on the method
A. Hyvärinen, K. Zhang, S. Shimizu, and P.O. Hoyer (2010)
Estimation of a Structural Vector Autoregression Model Using Non-Gaussianity. Journal of Machine Learning Research, 11, 1709-1731.
S. Shimizu, P.O. Hoyer, A. Hyvärinen, and A.J. Kerminen (2006)
A linear non-gaussian acyclic model for causal discovery. Journal of Machine Learning Research, 7, 2003-2030.
Contact Information
If you have any questions/comments, please contact Doris Entner.
Last update: 11 January 2012