Related papers: Granger causality test for heteroskedastic and str…
Modeling the relationship between vehicle speed and density on the road is a fundamental problem in traffic flow theory. Recent research found that using the least-squares (LS) method to calibrate single-regime speed-density models is…
Graphical Lasso (GL) is a popular method for learning the structure of an undirected graphical model, which is based on an $l_1$ regularization technique. The objective of this paper is to compare the computationally-heavy GL technique with…
Characterising cause-effect relationships in complex systems is fundamental to understanding their underlying mechanisms. Granger causality (GC) remains a widely used computational tool for identifying causal relationships in time series…
We propose the Granger causality inference Kolmogorov-Arnold Networks (KANGCI), a novel architecture that extends the recently proposed Kolmogorov-Arnold Networks (KAN) to the domain of causal inference. By extracting base weights from KAN…
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.…
This article proposes a systematic methodological review and objective criticism of existing methods enabling the derivation of time-varying Granger-causality statistics in neuroscience. The increasing interest and the huge number of…
This paper develops a method for estimating parameters of a vector autoregression (VAR) observed in white noise. The estimation method assumes the noise variance matrix is known and does not require any iterative process. This study…
In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the…
Extracting causal connections can advance interpretable AI and machine learning. Granger causality (GC) is a robust statistical method for estimating directed influences (DC) between signals. While GC has been widely applied to analysing…
In this work, we formalize the problem of causal inference over graph-based relational time-series data where each node in the graph has one or more time-series associated to it. We propose causal inference models for this problem that…
When a dynamical system can be modeled as a sequence of observations, Granger causality is a powerful approach for detecting predictive interactions between its variables. However, traditional Granger causal inference has limited utility in…
We introduce large-scale Augmented Granger Causality (lsAGC) as a method for connectivity analysis in complex systems. The lsAGC algorithm combines dimension reduction with source time-series augmentation and uses predictive time-series…
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…
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…
We consider the Granger causal structure learning problem from time series data. Granger causal algorithms predict a 'Granger causal effect' between two variables by testing if prediction error of one decreases significantly in the absence…
We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear…
Since interactions in neural systems occur across multiple temporal scales, it is likely that information flow will exhibit a multiscale structure, thus requiring a multiscale generalization of classical temporal precedence causality…
A novel approach is developed for discovering directed connectivity between specified pairs of nodes in a high-dimensional network (HDN) of brain signals. To accurately identify causal connectivity for such specified objectives, it is…
Inferring nonlinear and asymmetric causal relationships between multivariate longitudinal data is a challenging task with wide-ranging application areas including clinical medicine, mathematical biology, economics and environmental…
In this paper, we consider the Graphical Lasso (GL), a popular optimization problem for learning the sparse representations of high-dimensional datasets, which is well-known to be computationally expensive for large-scale problems.…