Related papers: Analyzing Multiple Nonlinear Time Series with Exte…
Kernel-based methods are used in the context of Granger Causality to enable the identification of nonlinear causal relationships between time series variables. In this paper, we show that two state of the art kernel-based Granger Causality…
A widely applied approach to causal inference from a non-experimental time series $X$, often referred to as "(linear) Granger causal analysis", is to regress present on past and interpret the regression matrix $\hat{B}$ causally. However,…
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…
We present a new framework for learning Granger causality networks for multivariate categorical time series, based on the mixture transition distribution (MTD) model. Traditionally, MTD is plagued by a nonconvex objective,…
Granger causality is a statistical notion of causal influence based on prediction via vector autoregression. For Gaussian variables it is equivalent to transfer entropy, an information-theoretic measure of time-directed information transfer…
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…
This study addresses the problem of learning an extended summary causal graph on time series. The algorithms we propose fit within the well-known constraint-based framework for causal discovery and make use of information-theoretic measures…
We propose a novel framework for studying causal inference of gene interactions using a combination of compressive sensing and Granger causality techniques. The gist of the approach is to discover sparse linear dependencies between time…
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…
Causal interactions in time series networks can be dynamic and nonlinear, making it difficult to identify them using conventional linear causality estimations. We propose a novel approach, called Threshold Autoregressive Modeling for…
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…
Granger causality (GC), a popular statistical method for the inference of directional influences between time series measured from a complex network, is sensitive to high-order (non-pairwise) interactions which fundamentally shape the…
That physiological oscillations of various frequencies are present in fMRI signals is the rule, not the exception. Herein, we propose a novel theoretical framework, spatio-temporal Granger causality, which allows us to more reliably and…
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…
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…
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily complex hypotheses in a computationally…
We propose a definition of causality for time series in terms of the effect of an intervention in one component of a multivariate time series on another component at some later point in time. Conditions for identifiability, comparable to…
Identifying directed interactions between species from time series of their population densities has many uses in ecology. This key statistical task is equivalent to causal time series inference, which connects to the Granger causality (GC)…
Temporal point process as the stochastic process on continuous domain of time is commonly used to model the asynchronous event sequence featuring with occurrence timestamps. Thanks to the strong expressivity of deep neural networks, they…
In this paper, we introduce different concepts of Granger causality and contemporaneous correlation for multivariate stationary continuous-time processes to model different dependencies between the component processes. Several equivalent…