Related papers: Extending Granger causality to nonlinear systems

We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…

In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcings and global temperatures. By allowing for high…

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…

We present a sample path dependent measure of causal influence between two time series. The proposed measure is a random variable whose expected sum is the directed information. A realization of the proposed measure may be used to identify…

Multivariate time series (MTS) forecasting is an essential problem in many fields. Accurate forecasting results can effectively help decision-making. To date, many MTS forecasting methods have been proposed and widely applied. However,…

This paper reports on the application to field measurements of time series methods developed on the basis of the theory of deterministic chaos. The major difficulties are pointed out that arise when the data cannot be assumed to be purely…

Causal structure discovery in complex dynamical systems is an important challenge for many scientific domains. Although data from (interventional) experiments is usually limited, large amounts of observational time series data sets are…

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…

Causal decomposition depicts a cause-effect relationship that is not based on the concept of prediction, but based on the phase dependence of time series. It has been validated in both stochastic and deterministic systems and is now…

Wiener-Granger causality is a widely used framework of causal analysis for temporally resolved events. We introduce a new measure of Wiener-Granger causality based on kernelization of partial canonical correlation analysis with specific…

Extracting the interaction rules of biological agents from movement sequences pose challenges in various domains. Granger causality is a practical framework for analyzing the interactions from observed time-series data; however, this…

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…

To gain insight into complex systems it is a key challenge to infer nonlinear causal directional relations from observational time-series data. Specifically, estimating causal relationships between interacting components in large systems…

Bayesian forecasting is developed in multivariate time series analysis for causal inference. Causal evaluation of sequentially observed time series data from control and treated units focuses on the impacts of interventions using…

One of the basic aims in science is to unravel the chain of cause and effect of particular systems. Especially for large systems this can be a daunting task. Detailed interventional and randomized data sampling approaches can be used to…

This work extends causal inference with stochastic confounders. We propose a new approach to variational estimation for causal inference based on a representer theorem with a random input space. We estimate causal effects involving latent…

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…

In multivariate time series analysis, understanding the underlying causal relationships among variables is often of interest for various applications. Directed acyclic graphs (DAGs) provide a powerful framework for representing causal…

Cause-effect analysis is crucial to understand the underlying mechanism of a system. We propose to exploit model invariance through interventions on the predictors to infer causality in nonlinear multivariate systems of time series. We…

The information flow-based quantitative causality analysis has been widely applied in different disciplines because of its origin from first principles, its concise form, and its computational efficiency. So far the algorithm for its…