Causal conditioning and instantaneous coupling in causality graphs
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Publication:278705
DOI10.1016/J.INS.2013.12.037zbMATH Open1405.94031arXiv1203.5572MaRDI QIDQ278705FDOQ278705
Authors: Pierre-Olivier Amblard, Olivier Michel 
Publication date: 2 May 2016
Published in: Information Sciences (Search for Journal in Brave)
Abstract: The paper investigates the link between Granger causality graphs recently formalized by Eichler and directed information theory developed by Massey and Kramer. We particularly insist on the implication of two notions of causality that may occur in physical systems. It is well accepted that dynamical causality is assessed by the conditional transfer entropy, a measure appearing naturally as a part of directed information. Surprisingly the notion of instantaneous causality is often overlooked, even if it was clearly understood in early works. In the bivariate case, instantaneous coupling is measured adequately by the instantaneous information exchange, a measure that supplements the transfer entropy in the decomposition of directed information. In this paper, the focus is put on the multivariate case and conditional graph modeling issues. In this framework, we show that the decomposition of directed information into the sum of transfer entropy and information exchange does not hold anymore. Nevertheless, the discussion allows to put forward the two measures as pillars for the inference of causality graphs. We illustrate this on two synthetic examples which allow us to discuss not only the theoretical concepts, but also the practical estimation issues.
Full work available at URL: https://arxiv.org/abs/1203.5572
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Cited In (5)
- Causality, conditional independence, and graphical separation in settable systems
- Directed information graphs for the Granger causality of multivariate time series
- Minimal sufficient causation and directed acyclic graphs
- Transient and equilibrium causal effects in coupled oscillators
- Multi-criteria improvement of complex systems
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