Search results for "Science General"
showing 3 items of 3 documents
Multiscale Granger causality
2017
In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic complexity of individual processes at different time scales are well-established, multiscale analysis of directed interactions has never been formalized theoretically, and empirical evaluations are complicated by practical issues such as filtering and downsampling. Here we extend the very popular measure of Granger causality (GC), a prominent tool for assessing directed lagged interactions between joint processes, to quantify information transfer a…
Extending the spectral decomposition of Granger causality to include instantaneous influences: application to the control mechanisms of heart rate va…
2021
Assessing Granger causality (GC) intended as the influence, in terms of reduction of variance of surprise, that a driver variable exerts on a given target, requires a suitable treatment of ‘instantaneous’ effects, i.e. influences due to interactions whose time scale is much faster than the time resolution of the measurements, due to unobserved confounders or insufficient sampling rate that cannot be increased because the mechanism of generation of the variable is inherently slow (e.g. the heartbeat). We exploit a recently proposed framework for the estimation of causal influences in the spectral domain and include instantaneous interactions in the modelling, thus obtaining (i) a novel index…
Estimating the decomposition of predictive information in multivariate systems
2015
In the study of complex systems from observed multivariate time series, insight into the evolution of one system may be under investigation, which can be explained by the information storage of the system and the information transfer from other interacting systems. We present a framework for the model-free estimation of information storage and information transfer computed as the terms composing the predictive information about the target of a multivariate dynamical process. The approach tackles the curse of dimensionality employing a nonuniform embedding scheme that selects progressively, among the past components of the multivariate process, only those that contribute most, in terms of co…