English

A note on causation versus correlation

Data Analysis, Statistics and Probability 2020-01-30 v1 Chaotic Dynamics

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 AA taking a harmonic form (sine/cosine), and it generates through some process another event BB so that BB always lags AA by a phase of π/2\pi/2. 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 AA to BB is zero, i.e., TAB=0T_{A\to B}=0, the total information increase of BB is also zero, so the normalized TABT_{A\to B}, denoted as τAB\tau_{A\to B}, takes the form of 00\frac 0 0. 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 τAB\tau_{A\to B} 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}
}

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5 pages