Related papers: On the interpretability and computational reliabil…
We generalize a previously proposed approach for nonlinear Granger causality of time series, based on radial basis function. The proposed model is not constrained to be additive in variables from the two time series and can approximate any…
We propose a new framework for assessing Granger causality in quantiles in unstable environments, for a fixed quantile or over a continuum of quantile levels. Our proposed test statistics are consistent against fixed alternatives, they have…
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…
Most of the metrics used for detecting a causal relationship among multiple time series ignore the effects of practical measurement impairments, such as finite sample effects, undersampling and measurement noise. It has been shown that…
Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here we introduce JGC (Jacobian Granger Causality), a neural network-based approach to Granger causality using the Jacobian as a…
An approach is proposed for inferring Granger causality between jointly stationary, Gaussian signals from quantized data. First, a necessary and sufficient rank criterion for the equality of two conditional Gaussian distributions is proved.…
Causality is omnipresent in scientists' verbalisations of their understanding, even though we have no formal consensual scientific definition for it. In Automata Networks, it suffices to say that automata "influence" one another to…
Granger causality is among the widely used data-driven approaches for causal analysis of time series data with applications in various areas including economics, molecular biology, and neuroscience. Two of the main challenges of this…
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…
At least two recent developments have put the spotlight on some significant gaps in the theory of multivariate time series. The recent interest in the dynamics of networks; and the advent, across a range of applications, of measuring…
Explaining underlying causes or effects about events is a challenging but valuable task. We define a novel problem of generating explanations of a time series event by (1) searching cause and effect relationships of the time series with…
Clustering is an unsupervised learning technique that is useful when working with a large volume of unlabeled data. Complex dynamical systems in real life often entail data streaming from a large number of sources. Although it is desirable…
Granger causality (GC) is undoubtedly the most widely used method to infer cause-effect relations from observational time series. Several nonlinear alternatives to GC have been proposed based on kernel methods. We generalize kernel Granger…
Over the past two decades, the rapid surge in data-intensive computational techniques for statistical modeling may have had the effect of diminishing the use of applied mathematics in causal scientific inquiry. In this paper, co-authored by…
The Granger framework is useful for discovering causal relations in time-varying signals. However, most Granger causality (GC) methods are developed for densely sampled timeseries data. A substantially different setting, particularly common…
As neuroscientists we want to understand how causal interactions or mechanisms within the brain give rise to perception, cognition, and behavior. It is typical to estimate interaction effects from measured activity using statistical…
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…
Granger Causality (GC) offers an elegant statistical framework to study the association between multivariate time series data. Vector autoregressive models (VAR) are simple and easy to fit, but have limited application because of their…
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…
Modelling time-varying and frequency-specific relationships between two brain signals is becoming an essential methodological tool to answer heoretical questions in experimental neuroscience. In this article, we propose to estimate a…