Lvelden/spec_granger — pull request #1 by nfourcau (2014-05-23 15:03:34+00:00)
Title: First version of multivariate NPSpectralGranger

Hi Luuk,

I took some time to finish the multivariate and conditional approaches of NP Spectral Granger.
Everything is now going really fast thanks to the last numpy matrix "inv" function and the "einsum" function.
Thus I do not rely any more on matop.py.
I tried to make a "clean" function as the top function of NPSpectralGranger where you can use either a bivariate, multivariate or conditional Granger. The rest of the code works but has not been thoroughly tested and cleaned.

I also included a script to reproduce Dhamala's paper results (2008).

Let me know what you think about, and if you have ideas to make some robust tests or even unitest...

Best,

Nicolas Fourcaud-Trocmé