Related papers: Multiscale Granger causality
Granger causality analysis, as one of the most popular time series causality methods, has been widely used in the economics, neuroscience. However, unobserved confounders is a fundamental problem in the observational studies, which is still…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
Graph topology inference of network processes with co-evolving and interacting time-series is crucial for network studies. Vector autoregressive models (VAR) are popular approaches for topology inference of directed graphs; however, in…
Latent factor models that integrate data from multiple sources/studies or modalities have garnered considerable attention across various disciplines. However, existing methods predominantly focus either on multi-study integration or…
Identifying causal relationships in climate systems remains challenging due to nonlinear, coupled dynamics that limit the effectiveness of linear and stochastic causal discovery approaches. This study benchmarks Convergence Cross Mapping…
A key challenge with controlling complex dynamical systems is to accurately model them. However, this requirement is very hard to satisfy in practice. Data-driven approaches such as Gaussian processes (GPs) have proved quite effective by…
We propose a graphical model for representing networks of stochastic processes, the minimal generative model graph. It is based on reduced factorizations of the joint distribution over time. We show that under appropriate conditions, it is…
Instrumental variable analysis is a powerful tool for estimating causal effects when randomization or full control of confounders is not possible. The application of standard methods such as 2SLS, GMM, and more recent variants are…
Physicists are starting to work in areas where noisy signal analysis is required. In these fields, such as Economics, Neuroscience, and Physics, the notion of causality should be interpreted as a statistical measure. We introduce to the lay…
Estimating causal relations is vital in understanding the complex interactions in multivariate time series. Non-linear coupling of variables is one of the major challenges inaccurate estimation of cause-effect relations. In this paper, we…
Many, if not most, systems of interest in science are naturally described as nonlinear dynamical systems. Empirically, we commonly access these systems through time series measurements. Often such time series may consist of discrete random…
We discuss the use of multivariate Granger causality in presence of redundant variables: the application of the standard analysis, in this case, leads to under-estimation of causalities. Using the un-normalized version of the causality…
Understanding how actor behavior influences process outcomes is a critical aspect of process mining. Traditional approaches often use aggregate and static process data, overlooking the temporal and causal dynamics that arise from individual…
We analyze by means of Granger causality the effect of synergy and redundancy in the inference (from time series data) of the information flow between subsystems of a complex network. Whilst we show that fully conditioned Granger causality…
The dynamic characteristics of multiphase industrial processes present significant challenges in the field of industrial big data modeling. Traditional soft sensing models frequently neglect the process dynamics and have difficulty in…
This paper proposes a novel method (GLS Granger test) to determine causal relationships between time series based on the estimation of the autocovariance matrix and generalized least squares. We show the effectiveness of proposed…
Understanding the temporal dynamics of Earth's surface is a mission of multi-temporal remote sensing image analysis, significantly promoted by deep vision models with its fuel -- labeled multi-temporal images. However, collecting,…
Wiener-Granger causality is a widely used framework of causal analysis for temporally resolved events. We introduce a new measure of Wiener-Granger causality based on kernelization of partial canonical correlation analysis with specific…
We present the R-package mgm for the estimation of k-order Mixed Graphical Models (MGMs) and mixed Vector Autoregressive (mVAR) models in high-dimensional data. These are a useful extensions of graphical models for only one variable type,…
We develop an LM test for Granger causality in high-dimensional VAR models based on penalized least squares estimations. To obtain a test retaining the appropriate size after the variable selection done by the lasso, we propose a…