The relation between Granger causality and directed information theory: a review
From MaRDI portal
Publication:742659
DOI10.3390/e15010113MaRDI QIDQ742659
Olivier J. J. Michel, Pierre-Olivier Amblard
Publication date: 19 September 2014
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.3169
information theory; Granger causality; conditional independence; transfer entropy; causal conditioning
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
94A17: Measures of information, entropy
Related Items
Information thermodynamics for interacting stochastic systems without bipartite structure, A general theory to estimate information transfer in nonlinear systems, Two stage approach to functional network reconstruction for binary time-series, Informations in models of evolutionary dynamics, Sparse causality network retrieval from short time series, Application of time-delay multiscale symbolic phase compensated transfer entropy in analyzing cyclic alternating pattern (CAP) in sleep-related pathological data, Theory and applications of financial chaos index, Bubble transfer spectral entropy and its application in epilepsy EEG analysis, Directed information graphs for the Granger causality of multivariate time series, Granger causality from quantized measurements, Causal inference for multivariate stochastic process prediction, Measuring information transfer by dispersion transfer entropy, A nonparametric efficient evaluation of partial directed coherence
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Graphical modelling of multivariate time series
- Escort entropies and divergences and related canonical distribution
- A class of Rényi information estimators for multidimensional densities
- Sample estimate of the entropy of a random vector
- Information transfer in continuous processes
- Evaluating causal relations in neural systems: Granger causality, directed transfer function and statistical assessment of significance
- Nonlinear analyses of interictal EEG map the brain interdependences in human focal epilepsy.
- Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
- On the evaluation of information flow in multivariate systems by the directed transfer function
- Measures of mutual and causal dependence between two time series (Corresp.)
- Source Coding With Feed-Forward: Rate-Distortion Theorems and Error Exponents for a General Source
- A Coding Theorem for a Class of Stationary Channels With Feedback
- Mutual information rate, distortion, and quantization in metric spaces
- The General Equivalence of Granger and Sims Causality
- A Note on Noncausality
- Feedback between stationary stochastic processes
- On the Granger Condition for Non-Causality
- A new class of random vector entropy estimators and its applications in testing statistical hypotheses
- Estimation of Entropy and Mutual Information
- The Capacity of Channels With Feedback
- Divergence Estimation for Multidimensional Densities Via $k$-Nearest-Neighbor Distances
- Estimation of Nonlinear Functionals of Densities With Confidence
- Interpretations of Directed Information in Portfolio Theory, Data Compression, and Hypothesis Testing
- Control Under Communication Constraints
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Testing Statistical Hypotheses
- Economic processes involving feedback
