The relation between Granger causality and directed information theory: a review

DOI10.3390/E15010113OpenAlexW2084008199MaRDI QIDQ742659FDOQ742659

Authors: Pierre-Olivier Amblard, Olivier Michel 

Publication date: 19 September 2014

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3169

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zbMATH Keywords

conditional independenceGranger causalityinformation theorytransfer entropycausal conditioning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of information, entropy (94A17)

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Cited In (18)

• A nonparametric efficient evaluation of partial directed coherence
• Granger causality from quantized measurements
• Two stage approach to functional network reconstruction for binary time-series
• Informations in models of evolutionary dynamics
• Bubble transfer spectral entropy and its application in epilepsy EEG analysis
• Application of time-delay multiscale symbolic phase compensated transfer entropy in analyzing cyclic alternating pattern (CAP) in sleep-related pathological data
• Measuring information transfer by dispersion transfer entropy
• Directed information graphs for the Granger causality of multivariate time series
• Information thermodynamics for interacting stochastic systems without bipartite structure
• The relation between Granger causality and directed information theory: a review
• Estimating the Directed Information and Testing for Causality
• Theory and applications of financial chaos index
• Kernel change point detection based on convergent cross mapping
• Sparse causality network retrieval from short time series
• Causal inference for multivariate stochastic process prediction
• On Wiener-Granger causality, information and canonical correlation
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• A general theory to estimate information transfer in nonlinear systems

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