Search results for "Information dyancamic analysi"

Information Dynamics Analysis: A new approach based on Sparse Identification of Linear Parametric Models*

2020

The framework of information dynamics allows to quantify different aspects of the statistical structure of multivariate processes reflecting the temporal dynamics of a complex network. The information transfer from one process to another can be quantified through Transfer Entropy, and under the assumption of joint Gaussian variables it is strictly related to the concept of Granger Causality (GC). According to the most recent developments in the field, the computation of GC entails representing the processes through a Vector Autoregressive (VAR) model and a state space (SS) model typically identified by means of the Ordinary Least Squares (OLS). In this work, we propose a new identification …