Search results for "vector autoregressive models"

showing 2 items of 2 documents

On the interpretability and computational reliability of frequency-domain Granger causality

2017

This Correspondence article is a comment which directly relates to the paper “A study of problems encountered in Granger causality analysis from a neuroscience perspective” (Stokes and Purdon, 2017). We agree that interpretation issues of Granger causality (GC) in neuroscience exist, partially due to the historically unfortunate use of the name “causality”, as described in previous literature. On the other hand, we think that Stokes and Purdon use a formulation of GC which is outdated (albeit still used) and do not fully account for the potential of the different frequency-domain versions of GC; in doing so, their paper dismisses GC measures based on a suboptimal use of them. Furthermore, s…

FOS: Computer and information sciences0301 basic medicineTheoretical computer scienceImmunology and Microbiology (all)Computer scienceTime series analysiMathematics - Statistics TheoryStatistics Theory (math.ST)Statistics - ApplicationsGeneral Biochemistry Genetics and Molecular BiologyMethodology (stat.ME)Causality (physics)03 medical and health sciences0302 clinical medicinegranger causalityGranger causalityCorrespondenceFOS: MathematicsApplications (stat.AP)Physiological oscillationGeneral Pharmacology Toxicology and PharmaceuticsTime seriessignal processingStatistical Methodologies & Health Informaticsfrequency-domain connectivityReliability (statistics)Statistics - MethodologyInterpretabilityGranger-Geweke causalityBiochemistry Genetics and Molecular Biology (all)Interpretation (logic)General Immunology and Microbiologybrain connectivityGeneral MedicineArticlesvector autoregressive models030104 developmental biologyMathematics and StatisticsWildcardVector autoregressive modelPharmacology Toxicology and Pharmaceutics (all)Frequency domaintime series analysisspectral decompositionSettore ING-INF/06 - Bioingegneria Elettronica E InformaticaBrain connectivity; Directed coherence; Frequency-domain connectivity; Granger-Geweke causality; Physiological oscillations; Spectral decomposition; Time series analysis; Vector autoregressive models; Biochemistry Genetics and Molecular Biology (all); Immunology and Microbiology (all); Pharmacology Toxicology and Pharmaceutics (all)directed coherence030217 neurology & neurosurgeryphysiological oscillations
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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…

FOS: Computer and information sciencesInformation transferComputer scienceGaussianSocial SciencesGeneral Physics and AstronomyInformation theory01 natural sciences010305 fluids & plasmasState spaceStatistical physicslcsh:Scienceinformation theorymultiscale entropylcsh:QC1-999Interaction informationMathematics and Statisticssymbolsinformation dynamicsInformation dynamics; Information transfer; Multiscale entropy; Multivariate time series analysis; Redundancy and synergy; State space models; Vector autoregressive models; Physics and Astronomy (all)information dynamics; information transfer; multiscale entropy; multivariate time series analysis; redundancy and synergy; state space models; vector autoregressive modelsMultivariate time series analysiMathematics - Statistics Theorylcsh:AstrophysicsStatistics Theory (math.ST)Statistics - ApplicationsMethodology (stat.ME)symbols.namesakePhysics and Astronomy (all)0103 physical scienceslcsh:QB460-466FOS: Mathematicsinformation transferRelevance (information retrieval)Applications (stat.AP)Transfer Entropy010306 general physicsGaussian processStatistics - MethodologyState space modelstate space modelsmultivariate time series analysisredundancy and synergyvector autoregressive modelsInformation dynamicVector autoregressive modelSettore ING-INF/06 - Bioingegneria Elettronica E InformaticaTransfer entropylcsh:Qlcsh:PhysicsEntropy
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