Search results for "Multivariate Time Series"
showing 10 items of 14 documents
An Information-Theoretic Framework to Map the Spatiotemporal Dynamics of the Scalp Electroencephalogram
2016
We present the first application of the emerging framework of information dynamics to the characterization of the electroencephalography (EEG) activity. The framework provides entropy-based measures of information storage (self entropy, SE) and information transfer (joint transfer entropy (TE) and partial TE), which are applied here to detect complex dynamics of individual EEG sensors and causal interactions between different sensors. The measures are implemented according to a model-free and fully multivariate formulation of the framework, allowing the detection of nonlinear dynamics and direct links. Moreover, to deal with the issue of volume conduction, a compensation for instantaneous e…
Estimation of Granger causality through Artificial Neural Networks: applications to physiological systems and chaotic electronic oscillators
2021
One of the most challenging problems in the study of complex dynamical systems is to find the statistical interdependencies among the system components. Granger causality (GC) represents one of the most employed approaches, based on modeling the system dynamics with a linear vector autoregressive (VAR) model and on evaluating the information flow between two processes in terms of prediction error variances. In its most advanced setting, GC analysis is performed through a state-space (SS) representation of the VAR model that allows to compute both conditional and unconditional forms of GC by solving only one regression problem. While this problem is typically solved through Ordinary Least Sq…
Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes
2017
Exploiting the theory of state space models, we derive the exact expressions of the information transfer, as well as redundant and synergistic transfer, for coupled Gaussian processes observed at multiple temporal scales. All of the terms, constituting the frameworks known as interaction information decomposition and partial information decomposition, can thus be analytically obtained for different time scales from the parameters of the VAR model that fits the processes. We report the application of the proposed methodology firstly to benchmark Gaussian systems, showing that this class of systems may generate patterns of information decomposition characterized by prevalently redundant or sy…
Multiscale partial information decomposition of dynamic processes with short and long-range correlations: theory and application to cardiovascular co…
2022
Abstract Objective. In this work, an analytical framework for the multiscale analysis of multivariate Gaussian processes is presented, whereby the computation of Partial Information Decomposition measures is achieved accounting for the simultaneous presence of short-term dynamics and long-range correlations. Approach. We consider physiological time series mapping the activity of the cardiac, vascular and respiratory systems in the field of Network Physiology. In this context, the multiscale representation of transfer entropy within the network of interactions among Systolic arterial pressure (S), respiration (R) and heart period (H), as well as the decomposition into unique, redundant and s…
Information Decomposition in Multivariate Systems: Definitions, Implementation and Application to Cardiovascular Networks
2016
The continuously growing framework of information dynamics encompasses a set of tools, rooted in information theory and statistical physics, which allow to quantify different aspects of the statistical structure of multivariate processes reflecting the temporal dynamics of complex networks. Building on the most recent developments in this field, this work designs a complete approach to dissect the information carried by the target of a network of multiple interacting systems into the new information produced by the system, the information stored in the system, and the information transferred to it from the other systems; information storage and transfer are then further decomposed into amou…
Basic cardiovascular variability signals: mutual directed interactions explored in the information domain.
2017
The study of short-term cardiovascular interactions is classically performed through the bivariate analysis of the interactions between the beat-to-beat variability of heart period (RR interval from the ECG) and systolic blood pressure (SBP). Recent progress in the development of multivariate time series analysis methods is making it possible to explore how directed interactions between two signals change in the context of networks including other coupled signals. Exploiting these advances, the present study aims at assessing directional cardiovascular interactions among the basic variability signals of RR, SBP and diastolic blood pressure (DBP), using an approach which allows direct compar…
Information decomposition in the frequency domain: a new framework to study cardiovascular and cardiorespiratory oscillations
2021
While cross-spectral and information-theoretic approaches are widely used for the multivariate analysis of physiological time series, their combined utilization is far less developed in the literature. This study introduces a framework for the spectral decomposition of multivariate information measures, which provides frequency-specific quantifications of the information shared between a target and two source time series and of its expansion into amounts related to how the sources contribute to the target dynamics with unique, redundant and synergistic information. The framework is illustrated in simulations of linearly interacting stochastic processes, showing how it allows us to retrieve …
Testing different methodologies for Granger causality estimation: A simulation study
2021
Granger causality (GC) is a method for determining whether and how two time series exert causal influences one over the other. As it is easy to implement through vector autoregressive (VAR) models and can be generalized to the multivariate case, GC has spread in many different areas of research such as neuroscience and network physiology. In its basic formulation, the computation of GC involves two different regressions, taking respectively into account the whole past history of the investigated multivariate time series (full model) and the past of all time series except the putatively causal time series (restricted model). However, the restricted model cannot be represented through a finit…
On Independent Component Analysis with Stochastic Volatility Models
2017
Consider a multivariate time series where each component series is assumed to be a linear mixture of latent mutually independent stationary time series. Classical independent component analysis (ICA) tools, such as fastICA, are often used to extract latent series, but they don't utilize any information on temporal dependence. Also financial time series often have periods of low and high volatility. In such settings second order source separation methods, such as SOBI, fail. We review here some classical methods used for time series with stochastic volatility, and suggest modifications of them by proposing a family of vSOBI estimators. These estimators use different nonlinearity functions to…
Blind Source Separation Based on Joint Diagonalization in R: The Packages JADE and BSSasymp
2017
Blind source separation (BSS) is a well-known signal processing tool which is used to solve practical data analysis problems in various fields of science. In BSS, we assume that the observed data consists of linear mixtures of latent variables. The mixing system and the distributions of the latent variables are unknown. The aim is to find an estimate of an unmixing matrix which then transforms the observed data back to latent sources. In this paper we present the R packages JADE and BSSasymp. The package JADE offers several BSS methods which are based on joint diagonalization. Package BSSasymp contains functions for computing the asymptotic covariance matrices as well as their data-based es…