Related papers: Multiscale Granger causality

Learning Granger causality for general point processes is a very challenging task. In this paper, we propose an effective method, learning Granger causality, for a special but significant type of point processes --- Hawkes process. We…

Gaussian process (GP) regression is a powerful probabilistic modeling technique with built-in uncertainty quantification. When one has access to multiple correlated simulations (tasks), it is common to fit a multitask GP (MTGP) surrogate…

Gaussian processes (GPs) are pervasive in functional data analysis, machine learning, and spatial statistics for modeling complex dependencies. Modern scientific data sets are typically heterogeneous and often contain multiple known…

Coarse-grained (CG) modeling has gained significant attention in recent years due to its wide applicability in enhancing the spatiotemporal scales of molecular simulations. While CG simulations, often performed with Hamiltonian mechanics,…

We study Granger causality in the context of wide-sense stationary time series, where our focus is on the topological aspects of the underlying causality graph. We establish sufficient conditions (in particular, we develop the notion of a…

Coarse-grained (CG) models are simplified representations of soft matter systems that are commonly employed to overcome size and time limitations in computational studies. Many approaches have been developed to construct and parametrise…

Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vector AutoRegressive (VAR) models, their popularity in…

We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…

Models for financial risk often assume that underlying asset returns are stationary. However, there is strong evidence that multivariate financial time series entail changes not only in their within-series dependence structure, but also in…

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…

Complex systems are often characterized by the interplay of multiple interconnected dynamical processes operating across a range of temporal scales. This phenomenon is widespread in both biological and artificial scenarios, making it…

Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a…

This report reviews the conceptual and theoretical links between Granger causality and directed information theory. We begin with a short historical tour of Granger causality, concentrating on its closeness to information theory. The…

We propose a probabilistic model for inferring the multivariate function from multiple areal data sets with various granularities. Here, the areal data are observed not at location points but at regions. Existing regression-based models can…

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.…

Reactive transport in saturated/unsaturated porous media is numerically upscaled to the space-time scale of a hypothetical measurement through coarse-grained space-time (CGST) averages. The reactive transport is modeled at the fine-grained…

Wiener and Granger have introduced an intuitive concept of causality between two variables which is based on the idea that an effect never occurs before its cause. Later, Geweke has generalized this concept to a multivariate Granger…

We propose a novel and efficient iterative two-stage variable selection approach for multivariate sparse GLARMA models, which can be used for modelling multivariate discrete-valued time series. Our approach consists in iteratively combining…

Molecular dynamics (MD) is a powerful technique for studying microscopic phenomena, but its computational cost has driven significant interest in the development of deep learning-based surrogate models. We introduce generative modeling of…

Kernel-based methods are used in the context of Granger Causality to enable the identification of nonlinear causal relationships between time series variables. In this paper, we show that two state of the art kernel-based Granger Causality…