I want to use Multivariate Granger Causality in python. I found that there is MVGC toolbox in MATLAB but was unable to find its equivalent in python or rather was unable to find any implementations of Multivariate Granger Causality in python. Please suggest some implementations of the same in python.
1 Answers
Several people have rewritten (parts of) the MVGC toolbox in python. The most comprehensive attempt seems to be causalty, which can be installed via pip and was maintained at least up until 2020. This blog post includes code for computing MVGC in python and some explanations. The adapted version of the code from the post is available in this repo from 3 years ago. The python package netrd include a version of GC as well as many other network inference methods.
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