Related papers: Granger causality in the frequency domain: derivat…
Measures of the direction and strength of the interdependence between two time series are evaluated and modified in order to reduce the bias in the estimation of the measures, so that they give zero values when there is no causal effect.…
Causality plays a central role in understanding interactions between variables in complex systems. These systems often exhibit state-dependent causal relationships, where both the strength and direction of causality vary with the value of…
Causality has traditionally been a scientific way to generate knowledge by relating causes to effects. From an imaginery point of view, causal graphs are a helpful tool for representing and infering new causal information. In previous…
The present study explores the intricacies of causal relationship extraction, a vital component in the pursuit of causality knowledge. Causality is frequently intertwined with temporal elements, as the progression from cause to effect is…
Inferring linear dependence between time series is central to our understanding of natural and artificial systems. Unfortunately, the hypothesis tests that are used to determine statistically significant directed or multivariate…
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…
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…
Linear response theory has developed into a formidable set of tools for studying the forced behaviour of a large variety of systems - including out of equilibrium ones. In this paper we provide a new angle on the problem, by studying under…
We aim to explicitly model the delayed Granger causal effects based on multivariate Hawkes processes. The idea is inspired by the fact that a causal event usually takes some time to exert an effect. Studying this time lag itself is of…
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 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…
We give a selective review of some recent developments in causal inference, intended for researchers who are not familiar with graphical models and causality, and with a focus on methods that are applicable to large data sets. We mainly…
The abundance of data produced daily from large variety of sources has boosted the need of novel approaches on causal inference analysis from observational data. Observational data often contain noisy or missing entries. Moreover, causal…
Granger-Geweke causality (GGC) is a powerful and popular method for identifying directed functional (`causal') connectivity in neuroscience. In a recent paper, Stokes and Purdon [1] raise several concerns about its use. They make two…
We describe a method for inferring linear causal relations among multi-dimensional variables. The idea is to use an asymmetry between the distributions of cause and effect that occurs if both the covariance matrix of the cause and the…
Causal inference is a science with multi-disciplinary evolution and applications. On the one hand, it measures effects of treatments in observational data based on experimental designs and rigorous statistical inference to draw causal…
Identifying ``true causality'' is a fundamental challenge in complex systems research. Widely adopted methods, like the Granger causality test, capture statistical dependencies between variables rather than genuine driver-response…
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…
Recent critiques of Physics Education Research (PER) studies have revoiced the critical issues when drawing causal inferences from observational data where no intervention is present. In response to a call for a "causal reasoning primer",…
Multiple metrics have been developed to detect causality relations between data describing the elements constituting complex systems, all of them considering their evolution through time. Here we propose a metric able to detect causality…