A note on causation versus correlation
Abstract
Recently, it has been shown that the causality and information flow between two time series can be inferred in a rigorous and quantitative sense, and, besides, the resulting causality can be normalized. A corollary that follows is, in the linear limit, causation implies correlation, while correlation does not imply causation. Now suppose there is an event taking a harmonic form (sine/cosine), and it generates through some process another event so that always lags by a phase of . Here the causality is obviously seen, while by computation the correlation is, however, zero. This seemingly contradiction is rooted in the fact that a harmonic system always leaves a single point on the Poincar\'e section; it does not add information. That is to say, though the absolute information flow from to is zero, i.e., , the total information increase of is also zero, so the normalized , denoted as , takes the form of . By slightly perturbating the system with some noise, solving a stochastic differential equation, and letting the perturbation go to zero, it can be shown that approaches 100\%, just as one would have expected.
Cite
@article{arxiv.2001.10823,
title = {A note on causation versus correlation},
author = {X. San Liang and Xiuqun Yang},
journal= {arXiv preprint arXiv:2001.10823},
year = {2020}
}
Comments
5 pages