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A challenging problem when studying a dynamical system is to find the interdependencies among its individual components. Several algorithms have been proposed to detect directed dynamical influences between time series. Two of the most used…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
Inference of causality is central in nonlinear time series analysis and science in general. A popular approach to infer causality between two processes is to measure the information flow between them in terms of transfer entropy. Using…
Granger causality is a statistical notion of causal influence based on prediction via vector autoregression. Developed originally in the field of econometrics, it has since found application in a broader arena, particularly in neuroscience.…
Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger…
We propose a new method of discovering causal relationships in temporal data based on the notion of causal compression. To this end, we adopt the Pearlian graph setting and the directed information as an information theoretic tool for…
This paper indicates causality as the tool that unifies the analysis of both activations and connectivity of brain areas, obtained with fMRI data. Causality analysis is commonly applied to study connectivity, so this work focuses on…
Granger causality is a widely-used criterion for analyzing interactions in large-scale networks. As most physical interactions are inherently nonlinear, we consider the problem of inferring the existence of pairwise Granger causality…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
We document regime-dependent predictive structure between equity factors using 35 years of Fama-French data (1990-2024). We find that Value (HML) Granger-causes Size (SMB) during crisis regimes (p < 1e-4, 9-day lag) but not during normal…
We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series…
This PhD thesis contains several contributions to the field of statistical causal modeling. Statistical causal models are statistical models embedded with causal assumptions that allow for the inference and reasoning about the behavior of…
Causal inference is central to statistics and scientific discovery, enabling researchers to identify cause-and-effect relationships beyond associations. While traditionally studied within Euclidean spaces, contemporary applications…
The paper investigates the link between Granger causality graphs recently formalized by Eichler and directed information theory developed by Massey and Kramer. We particularly insist on the implication of two notions of causality that may…
This is a comment to the paper 'A study of problems encountered in Granger causality analysis from a neuroscience perspective'. We agree that interpretation issues of Granger Causality in Neuroscience exist (partially due to the historical…
The problem of estimating high-dimensional network models arises naturally in the analysis of many physical, biological and socio-economic systems. Examples include stock price fluctuations in financial markets and gene regulatory networks…
It is a challenging research endeavor to infer causal relationships in multivariate observational time-series. Such data may be represented by graphs, where nodes represent time-series, and edges directed causal influence scores between…
Despite the essential need for comprehensive considerations in responsible AI, factors like robustness, fairness, and causality are often studied in isolation. Adversarial perturbation, used to identify vulnerabilities in models, and…
The dependencies of the lagged (Pearson) correlation function on the coefficients of multivariate autoregressive models are interpreted in the framework of time series graphs. Time series graphs are related to the concept of Granger…
A model-free measure of Granger causality in expectiles is proposed, generalizing the traditional mean-based measure to arbitrary positions of the conditional distribution. Expectiles are the only law-invariant risk measures that are both…