Order-Constrained Spectral Causality for Multivariate Time Series
Abstract
We introduce an operator-theoretic framework for analyzing directional dependence in multivariate time series based on order-constrained spectral non-invariance. Directional influence is defined as the sensitivity of second-order dependence operators to admissible, order-preserving temporal deformations of a designated source component, summarized through orthogonally invariant spectral functionals. We show that the resulting supremum--infimum dispersion functional is the unique diagnostic within this class satisfying order consistency, orthogonal invariance, Loewner monotonicity, second-order sufficiency, and continuity, and that classical Granger causality, directed coherence, and Geweke frequency-domain causality arise as special cases under appropriate restrictions. An information-theoretic impossibility result establishes that entrywise-stable edge-based tests require quadratic sample size scaling in distributed (non-sparse) regimes, whereas spectral tests detect at the optimal linear scale. We establish uniform consistency and valid shift-based randomization inference under weak dependence. Simulations confirm correct size and strong power across distributed and nonlinear alternatives, and an empirical application illustrates system-level directional causal structure in financial markets.
Cite
@article{arxiv.2601.01216,
title = {Order-Constrained Spectral Causality for Multivariate Time Series},
author = {Alejandro Rodriguez Dominguez},
journal= {arXiv preprint arXiv:2601.01216},
year = {2026}
}
Comments
94 pages, 16 figures, 16 tables. Under Review by Statistics Journal