  It is often useful in multivariate time series analysis to determine
statistical causal relations between different time series. Granger causality
is a fundamental measure for this purpose. Yet the traditional pairwise
approach to Granger causality analysis may not clearly distinguish between
direct causal influences from one time series to another and indirect ones
acting through a third time series. In order to differentiate direct from
indirect Granger causality, a conditional Granger causality measure in the
frequency domain is derived based on a partition matrix technique. Simulations
and an application to neural field potential time series are demonstrated to
validate the method.
