The meaning of the causality window
This parameter is relevant for programs which estimate the forecast
errors for a given model. Suppose one wants to forecast the element
nj of a time series. Since one implicitly supposes that this
element is unknown, one should not use any information about this
element to build the model. Therefore one should exclude all delay
vectors containing this element from the model building process. This
is realized by the routine exclude_interval.
This exclusion of parts of the vectors from the model building process
can be a severe problem if one doesn't do a one-step forecast, but a
n-step forecast, with n large. In this case one has to exclude a large
part of the data (roughly 2*n) and it could happen that the rest of
the data is not sufficient for a reasonable model creation. By means
of the -C flag one can therefore shorten this
window. Setting the parameter to zero corresponds to a window of a
one-step forecast.
Change this parameter only if you really know
what you are doing!