Počet záznamů: 1  

Conditional Granger Causality of Diffusion Processes

  1. 1.
    0480176 - UIVT-O 2018 RIV DE eng J - Článek v odborném periodiku
    Wahl, B. - Feudel, U. - Hlinka, Jaroslav - Wächter, M. - Peinke, J. - Freund, J.A.
    Conditional Granger Causality of Diffusion Processes.
    European Physical Journal B. Roč. 90, č. 10 (2017), č. článku 197. ISSN 1434-6028
    Grant CEP: GA ČR GA13-23940S; GA MZd(CZ) NV15-29835A
    Institucionální podpora: RVO:67985807
    Klíčová slova: Granger causality * stochastic process * diffusion process * nonlinear dynamical systems
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    Obor OECD: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
    Impakt faktor: 1.536, rok: 2017

    The statistical concept of Granger causality is defined by prediction improvement, i.e. the causing time series contains unique information about the future of the caused one. Recently we proposed extending this concept to bivariate diffusion processes by defining Granger causality for each point of the state space as the Granger causality of a process obtained by local linearisation. This provides a Granger causality map, well-defined at least in the vicinity of stable fixed points of the deterministic part of the dynamics. This extension has convenient properties, but carries several important limitations. In the current paper we show how the Granger causality of diffusion processes can be further generalized, incorporating in particular the concept of conditional causality. Moreover, we demonstrate the application potential to systems with a more complex attractor structure such as limit cycles or bistability of fixed points.
    Trvalý link: http://hdl.handle.net/11104/0276061