2007
DOI: 10.1016/j.physrep.2006.12.004
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Causality detection based on information-theoretic approaches in time series analysis

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Cited by 696 publications
(582 citation statements)
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References 191 publications
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“…Together, these expressions allow T to be written in terms of linear regression residuals, and therefore to be related directly to F . The equivalence between F and T is important because it implies that, for Gaussian variables, linear regression accounts for all the dependence among variables, further justifying CD as a measure of dynamical complexity (see [20] for a comprehensive review of nonlinear causality measures). Importantly, in the multi-variate case, the equivalence (2.8) holds for the preferred determinant version (MVGC) but not for the alternative trace version [14].…”
Section: (C) Transfer Entropymentioning
confidence: 99%
“…Together, these expressions allow T to be written in terms of linear regression residuals, and therefore to be related directly to F . The equivalence between F and T is important because it implies that, for Gaussian variables, linear regression accounts for all the dependence among variables, further justifying CD as a measure of dynamical complexity (see [20] for a comprehensive review of nonlinear causality measures). Importantly, in the multi-variate case, the equivalence (2.8) holds for the preferred determinant version (MVGC) but not for the alternative trace version [14].…”
Section: (C) Transfer Entropymentioning
confidence: 99%
“…As an alternative to linear or nonlinear parametric models, information-theoretic methods [7] constitute a valid, modelfree approach to assess nonlinear causality for both deterministic and stochastic systems. The key for assessing causality within the information-theoretic framework is to incorporate the flow of time into the desired measure through the utilization of conditional probabilities.…”
Section: Introductionmentioning
confidence: 99%
“…Another issue is related to the estimation of entropies themselves. While several estimators designed for multidimensional spaces can be applied for conditional entropy estimation [7], a common problem is the bias that increasingly affects conditional entropy estimates at augmenting dimensionality of the embedding vectors. These issues become critical when factors typical of practical applications, such as the data length and the signal-to-noise ratio, decrease to the values commonly encountered in experimental short-term time series analysis.…”
Section: Introductionmentioning
confidence: 99%
“…Among the variety of approaches (e.g. exploiting state-space correspondence; Arnhold et al 1999;Quiroga et al 2002), phase synchronization (Rosenblum & Pikovsky 2001;Rosenblum et al 2002) or information theory (Hlavackova-Schindler et al 2007), the cross-prediction method quantifying the predictability of one of the two series starting from samples of the other series has been widely used to assess directional coupling in short and noisy physiological time series (Schiff et al 1996;Le Van Quyen et al 1999;.…”
Section: Introductionmentioning
confidence: 99%