Sparse causality network retrieval from short time series

DOI10.1155/2017/4518429MaRDI QIDQ1687426zbMATH OpenOpenAlexFDO

Authors Tomaso Aste, T. Di Matteo

Publication date 3 January 2018

Published in Complexity (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1706.01954

zbMATH Keywords

regularizationmultivariate linear processsparse causality structuretime series of short lengths

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear systems in control theory (93C05)

Abstract: We investigate how efficiently a known underlying sparse causality structure of a simulated multivariate linear process can be retrieved from the analysis of time-series of short lengths. Causality is quantified from conditional transfer entropy and the network is constructed by retaining only the statistically validated contributions. We compare results from three methodologies: two commonly used regularization methods, Glasso and ridge, and a newly introduced technique, LoGo, based on the combination of information filtering network and graphical modelling. For these three methodologies we explore the regions of time series lengths and model-parameters where a significant fraction of true causality links is retrieved. We conclude that, when time-series are short, with their lengths shorter than the number of variables, sparse models are better suited to uncover true causality links with LoGo retrieving the true causality network more accurately than Glasso and ridge.

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Cited in

(3)

• Forecasting market states
• Sparse inverse covariance matrix estimation via the \(\ell_0\)-norm with Tikhonov regularization
• A clustering-based portfolio strategy incorporating momentum effect and market trend prediction

Describes a project that uses

Uses Software

• scout
• glasso

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