Learning Granger causality graphs for multivariate nonlinear time series |
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Authors: | Wei Gao Zheng Tian |
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Institution: | 1. Department of Applied Mathematics, Northwest P olytechnical University,Xi'an,Shanxi 710072,China 2. Department of Applied Mathematics, Northwest P olytechnical University,Xi'an,Shanxi 710072,China;State Key Laboratory of Remote Sensing Science, Institute of Remote Sensing Applications, Chinese Academy of Sciences, Beijing, 100101, China |
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Abstract: | An information theory method is proposed to test the. Granger causality and contemporaneous conditional independence in Granger causality graph models. In the graphs, the vertex set denotes the component series of the multivariate time series, and the directed edges denote causal dependence, while the undirected edges reflect the instantaneous dependence. The presence of the edges is measured by a statistics based on conditional mutual information and tested by a permutation procedure. Furthermore, for the existed relations, a statistics based on the difference between general conditional mutual information and linear conditional mutual information is proposed to test the nonlinearity. The significance of the nonlinear test statistics is determined by a bootstrap method based on surrogate data. We investigate the finite sample behavior of the procedure through simulation time series with different dependence structures, including linear and nonlinear relations. |
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Keywords: | Multivariate nonlinear time series Granger causality graph conditional mutual information surrogate data |
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