Simulation study of direct causality measures in multivariate time series

DOI10.3390/E15072635zbMATH Open1336.62153OpenAlexW2152112426MaRDI QIDQ280447FDOQ280447

Authors Angeliki Papana, Catherine Kyrtsou, Dimitris Kugiumtzis, Cees Diks 

Publication date 10 May 2016

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e15072635

zbMATH Keywords

multivariate time seriesdirect Granger causalityinformation measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

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• Comparison of linear signal processing techniques to infer directed interactions in multivariate neural systems
• Detection of direct causal effects and application to epileptic electroencephalogram analysis
• Estimating the dimension of a model
• Graphical modelling of multivariate time series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
• Partial directed coherence: a new concept in neural structure determination
• Short and long run causality measures: theory and inference

Cited in

(16)

• Measuring information transfer by dispersion transfer entropy
• Causal information approach to partial conditioning in multivariate data sets
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• scientific article; zbMATH DE number 6431341 (Why is no real title available?)
• Assessing directionality and strength of coupling through symbolic analysis: an application to epilepsy patients
• Causality indices for bivariate time series data: a comparative review of performance
• Evaluation of connectivity estimates using spiking neuronal network models
• Detecting direct causality in multivariate time series: a comparative study
• Causation entropy identifies indirect influences, dominance of neighbors and anticipatory couplings
• Transient and equilibrium causal effects in coupled oscillators
• Detection of direct causal effects and application to epileptic electroencephalogram analysis
• Elimination of third-series effect and defining partial measures of causality
• A fast method for detecting interdependence between time series and its directionality
• A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series
• A nonparametric causality test: detection of direct causal effects in multivariate systems using corrected partial transfer entropy
• Shortcomings of transfer entropy and partial transfer entropy: extending them to escape the curse of dimensionality

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