Comments on 'Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The 'Optimal Thermal Causal Path' Method with Applications to Economic Data'.

摘要

[Zhou, W.-X., Sornette, D., 2006. Non-parametric determination of real-time lag structure between two time series: the "optimal thermal causal path" method with applications to economic data. Journal of Macroeconomics 28 (1), 197-226] introduce a method for the detection of causality between two time series, using a "temperature" so as to extract as much relevant information as possible without at the same time fitting to noise. In this discussion simulated annealing is proposed as a way to optimise the temperature used in their search for an "optimal thermal causal path".