Assessing causality from multivariate time series

被引：100
|
作者：
Verdes, PF [1 ]
机构：
[1] Heidelberg Univ, Inst Environm Phys, D-69120 Heidelberg, Germany
来源：
PHYSICAL REVIEW E | 2005年 / 72卷 / 02期
关键词：
D O I：
10.1103/PhysRevE.72.026222
中图分类号：
O35 [流体力学]; O53 [等离子体物理学];
学科分类号：
070204 ; 080103 ; 080704 ;
摘要：
In this work we propose a general nonparametric test of causality for weakly dependent time series. More precisely, we study the problem of attribution, i.e., the proper comparison of the relative influence that two or more external dynamics trigger on a given system of interest. We illustrate the possible applications of the proposed methodology in very different fields like physiology and climate science.
引用
收藏
页数：9
相关论文
共 50 条
  • [1] Assessing Nonlinear Granger Causality from Multivariate Time Series
    Sun, Xiaohai
    MACHINE LEARNING AND KNOWLEDGE DISCOVERY IN DATABASES, PART II, PROCEEDINGS, 2008, 5212 : 440 - 455
  • [2] Causality networks from multivariate time series and application to epilepsy
    Siggiridou, Elsa
    Koutlis, Christos
    Tsimpiris, Alkiviadis
    Kimiskidis, Vasilios K.
    Kugiumtzis, Dimitris
    2015 37TH ANNUAL INTERNATIONAL CONFERENCE OF THE IEEE ENGINEERING IN MEDICINE AND BIOLOGY SOCIETY (EMBC), 2015, : 4041 - 4044
  • [3] Granger Causality for Multivariate Time Series Classification
    Yang, Dandan
    Chen, Huanhuan
    Song, Yinlong
    Gong, Zhichen
    2017 IEEE INTERNATIONAL CONFERENCE ON BIG KNOWLEDGE (IEEE ICBK 2017), 2017, : 103 - 110
  • [4] Robust optimal tests for causality in multivariate time series
    Saidi, Abdessamad
    Roy, Roch
    ECONOMETRIC THEORY, 2008, 24 (04) : 948 - 987
  • [5] Causality Distance Measures for Multivariate Time Series with Applications
    Anastasiou, Achilleas
    Hatzopoulos, Peter
    Karagrigoriou, Alex
    Mavridoglou, George
    MATHEMATICS, 2021, 9 (21)
  • [6] Granger causality and path diagrams for multivariate time series
    Eichler, Michael
    JOURNAL OF ECONOMETRICS, 2007, 137 (02) : 334 - 353
  • [7] Evaluation of Granger Causality Measures for Constructing Networks from Multivariate Time Series
    Siggiridou, Elsa
    Koutlis, Christos
    Tsimpiris, Alkiviadis
    Kugiumtzis, Dimitris
    ENTROPY, 2019, 21 (11)
  • [8] Discrimination of coupling structures using causality networks from multivariate time series
    Koutlis, Christos
    Kugiumtzis, Dimitris
    CHAOS, 2016, 26 (09)
  • [9] Learning Granger causality graphs for multivariate nonlinear time series
    Wei Gao
    Zheng Tian
    Journal of Systems Science and Systems Engineering, 2009, 18 : 38 - 52
  • [10] Detecting direct causality in multivariate time series: A comparative study
    Papana, Angeliki
    Siggiridou, Elsa
    Kugiumtzis, Dimitris
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2021, 99
12345