Related papers: Analyzing Multiple Nonlinear Time Series with Exte…
We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…
Previous studies indicate that nonlinear properties of Gaussian time series with long-range correlations, $u_i$, can be detected and quantified by studying the correlations in the magnitude series $|u_i|$, i.e., the ``volatility''. However,…
We investigate the problem of inferring the causal predictors of a response $Y$ from a set of $d$ explanatory variables $(X^1,\dots,X^d)$. Classical ordinary least squares regression includes all predictors that reduce the variance of $Y$.…
Inferring a cause from its effect using observed time series data is a major challenge in natural and social sciences. Assuming the effect is generated by the cause trough a linear system, we propose a new approach based on the hypothesis…
A challenging problem when studying a dynamical system is to find the interdependencies among its individual components. Several algorithms have been proposed to detect directed dynamical influences between time series. Two of the most used…
We discuss the use of multivariate Granger causality in presence of redundant variables: the application of the standard analysis, in this case, leads to under-estimation of causalities. Using the un-normalized version of the causality…
This is a comment to the paper 'A study of problems encountered in Granger causality analysis from a neuroscience perspective'. We agree that interpretation issues of Granger Causality in Neuroscience exist (partially due to the historical…
Components of biological systems interact with each other in order to carry out vital cell functions. Such information can be used to improve estimation and inference, and to obtain better insights into the underlying cellular mechanisms.…
We study Ising models for describing data and show that autoregressive methods may be used to learn their connections, also in the case of asymmetric connections and for multi-spin interactions. For each link the linear Granger causality is…
In this paper, we propose a mixture of probabilistic partial canonical correlation analysis (MPPCCA) that extracts the Causal Patterns from two multivariate time series. Causal patterns refer to the signal patterns within interactions of…
Causal discovery in time-series is a fundamental problem in the machine learning community, enabling causal reasoning and decision-making in complex scenarios. Recently, researchers successfully discover causality by combining neural…
Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a…
Granger causality (GC) is often considered not an actual form of causality. Still, it is arguably the most widely used method to assess the predictability of a time series from another one. Granger causality has been widely used in many…
We provide theoretical and empirical evidence for a type of asymmetry between causes and effects that is present when these are related via linear models contaminated with additive non-Gaussian noise. Assuming that the causes and the…
Causal inference uses observations to infer the causal structure of the data generating system. We study a class of functional models that we call Time Series Models with Independent Noise (TiMINo). These models require independent residual…
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…
Discovering causal relationships from time series data is significant in fields such as finance, climate science, and neuroscience. However, contemporary techniques rely on the simplifying assumption that data originates from the same…
We consider the problem of inferring causal relationships between two or more passively observed variables. While the problem of such causal discovery has been extensively studied especially in the bivariate setting, the majority of current…
Inferring cause-effect relationships from observational data has gained significant attention in recent years, but most methods are limited to scalar random variables. In many important domains, including neuroscience, psychology, social…
This paper explores the potential of the transformer models for learning Granger causality in networks with complex nonlinear dynamics at every node, as in neurobiological and biophysical networks. Our study primarily focuses on a…