Related papers: Time, Frequency & Time-Varying Causality Measures …
We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation consistent (HAC) estimation of the asymptotic variance and…
In some causal inference scenarios, the treatment variable is measured inaccurately, for instance in epidemiology or econometrics. Failure to correct for the effect of this measurement error can lead to biased causal effect estimates.…
The causal connectivity of a network is often inferred to understand the network function. It is arguably acknowledged that the inferred causal connectivity relies on causality measure one applies, and it may differ from the network's…
This reply is in response to commentaries by Barnett, Barrett, and Seth (arXiv:1708.08001) and Faes, Stramaglia, and Marinazzo (arXiv:1708.06990) on our paper entitled "A study of problems encountered in Granger causality analysis from a…
Causal inference in a nonlinear system of multivariate timeseries is instrumental in disentangling the intricate web of relationships among variables, enabling us to make more accurate predictions and gain deeper insights into real-world…
Identifying variables responsible for changes to a biological system enables applications in drug target discovery and cell engineering. Given a pair of observational and interventional datasets, the goal is to isolate the subset of…
A cornerstone of human statistical learning is the ability to extract temporal regularities / patterns from random sequences. Here we present a method of computing pattern time statistics with generating functions for first-order Markov…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
Identifying directed spectral information flow between multivariate time series is important for many applications in finance, climate, geophysics and neuroscience. Spectral Granger causality (SGC) is a prediction-based measure…
The use of observational time series data to assess the impact of multi-time point interventions is becoming increasingly common as more health and activity data are collected and digitized via wearables, social media, and electronic health…
Causal inference methods (instrumental variables, difference-in-differences, regression discontinuity, etc.) are primary tools used across many social science milieus. One area where their application has lagged however, is in the study of…
We study causality between bivariate curve time series using the Granger causality generalized measures of correlation. With this measure, we can investigate which curve time series Granger-causes the other; in turn, it helps determine the…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
Causality testing, the act of determining cause and effect from measurements, is widely used in physics, climatology, neuroscience, econometrics and other disciplines. As a result, a large number of causality testing methods based on…
I explain a simple definition of causality in widespread use, and indicate how it links to the Kramers Kronig relations. The specification of causality in terms of temporal differential eqations then shows us the way to write down dynamical…
We analyze a neural system which mimics a sensorial cortex, with different input characteristics, in presence of transmission delays. We propose a new measure to characterize collective behavior, based on the nonlinear extension of the…
The idea to estimate the statistical interdependence among (interacting) brain regions has motivated numerous researchers to investigate how the resulting connectivity patterns and networks may organize themselves under any conceivable…
Directed information theory deals with communication channels with feedback. When applied to networks, a natural extension based on causal conditioning is needed. We show here that measures built from directed information theory in networks…
Objective: This study proposes a new parametric TF (time frequency) CGC (conditional Granger causality) method for high precision connectivity analysis over time and frequency in multivariate coupling nonstationary systems, and applies it…
Multivariate time series (MTS) forecasting is an essential problem in many fields. Accurate forecasting results can effectively help decision-making. To date, many MTS forecasting methods have been proposed and widely applied. However,…