Search results for "autoregressive model"
showing 10 items of 120 documents
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 …
Measuring Connectivity in Linear Multivariate Processes: Definitions, Interpretation, and Practical Analysis
2011
This tutorial paper introduces a common framework for the evaluation of widely used frequency-domain measures of coupling (coherence, partial coherence) and causality (directed coherence, partial directed coherence) from the parametric representation of linear multivariate (MV) processes. After providing a comprehensive time-domain definition of the various forms of connectivity observed in MV processes, we particularize them to MV autoregressive (MVAR) processes and derive the corresponding frequency-domain measures. Then, we discuss the theoretical interpretation of these MVAR-based connectivity measures, showing that each of them reflects a specific time-domain connectivity definition an…
Directed coherence analysis in patients with severe autonomic dysfunction
2014
Many different approaches have been applied to analyse the coupling between cardiovascular signals. This study evaluated the use of directed coherence, based on multivariate autoregressive modelling, for analysis of cardiovascular signals in patients with transthyretin amyloidosis, a rare disease where severe autonomic dysfunction is common. © 2014 IEEE.
Multivariate and Multiscale Complexity of Long-Range Correlated Cardiovascular and Respiratory Variability Series
2020
Assessing the dynamical complexity of biological time series represents an important topic with potential applications ranging from the characterization of physiological states and pathological conditions to the calculation of diagnostic parameters. In particular, cardiovascular time series exhibit a variability produced by different physiological control mechanisms coupled with each other, which take into account several variables and operate across multiple time scales that result in the coexistence of short term dynamics and long-range correlations. The most widely employed technique to evaluate the dynamical complexity of a time series at different time scales, the so-called multiscale …
Measuring frequency domain granger causality for multiple blocks of interacting time series
2011
In the past years, several frequency-domain causality measures based on vector autoregressive time series modeling have been suggested to assess directional connectivity in neural systems. The most followed approaches are based on representing the considered set of multiple time series as a realization of two or three vector-valued processes, yielding the so-called Geweke linear feedback measures, or as a realization of multiple scalar-valued processes, yielding popular measures like the directed coherence (DC) and the partial DC (PDC). In the present study, these two approaches are unified and generalized by proposing novel frequency-domain causality measures which extend the existing meas…
Extended causal modeling to assess Partial Directed Coherence in multiple time series with significant instantaneous interactions.
2010
The Partial Directed Coherence (PDC) and its generalized formulation (gPDC) are popular tools for investigating, in the frequency domain, the concept of Granger causality among multivariate (MV) time series. PDC and gPDC are formalized in terms of the coefficients of an MV autoregressive (MVAR) model which describes only the lagged effects among the time series and forsakes instantaneous effects. However, instantaneous effects are known to affect linear parametric modeling, and are likely to occur in experimental time series. In this study, we investigate the impact on the assessment of frequency domain causality of excluding instantaneous effects from the model underlying PDC evaluation. M…
Estimating brain connectivity when few data points are available: Perspectives and limitations
2017
Methods based on the use of multivariate autoregressive modeling (MVAR) have proved to be an accurate and flexible tool for the estimation of brain functional connectivity. The multivariate approach, however, implies the use of a model whose complexity (in terms of number of parameters) increases quadratically with the number of signals included in the problem. This can often lead to an underdetermined problem and to the condition of multicollinearity. The aim of this paper is to introduce and test an approach based on Ridge Regression combined with a modified version of the statistics usually adopted for these methods, to broaden the estimation of brain connectivity to those conditions in …
Pre- and post-ictal brain activity characterization using combined source decomposition and connectivity estimation in epileptic children
2019
In this research, the study of functional connectivity between sources of electroencephalogram (EEG) activity assessed for different classes (well before seizure, preictal and post-ictal) was performed. EEG recordings were acquired from 12 subjects with focal epilepsy. Then, ten common spatial patterns (CSP) were obtained for EEG segments describing 95% of Riemannian distance between pairs of classes, followed by estimation of multivariate autoregressive (MVAR) models’ coefficients. The MVAR models were further used to extract coherence as a functional connectivity measures. Our results show that the coherence between CSP sources differs between baseline and pre-ictal segments: it has the l…
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…
Vector Autoregressive Fractionally Integrated Models to Assess Multiscale Complexity in Cardiovascular and Respiratory Time Series
2020
Cardiovascular variability is the result of the activity of several physiological control mechanisms, which involve different variables and operate across multiple time scales encompassing short term dynamics and long range correlations. This study presents a new approach to assess the multiscale complexity of multivariate time series, based on linear parametric models incorporating autoregressive coefficients and fractional integration. The approach extends to the multivariate case recent works introducing a linear parametric representation of multiscale entropy, and is exploited to assess the complexity of cardiovascular and respiratory time series in healthy subjects studied during postu…