Počet záznamů: 1
Comparison of Six Methods for the Detection of Causality in a Bivariate Time Series
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SYSNO ASEP 0489765 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Comparison of Six Methods for the Detection of Causality in a Bivariate Time Series Tvůrce(i) Krakovská, A. (SK)
Jakubík, J. (SK)
Chvosteková, M. (SK)
Coufal, David (UIVT-O) RID, SAI, ORCID
Jajcay, Nikola (UIVT-O) RID, ORCID, SAI
Paluš, Milan (UIVT-O) RID, SAI, ORCIDČíslo článku 042207 Zdroj.dok. Physical Review E. - : American Physical Society - ISSN 2470-0045
Roč. 97, č. 4 (2018)Poč.str. 14 s. Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova comparative study ; causality detection ; bivariate models ; Granger causality ; transfer entropy ; convergent cross mappings Vědní obor RIV IN - Informatika Obor OECD Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8) CEP NV15-33250A GA MZd - Ministerstvo zdravotnictví Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000429526600003 EID SCOPUS 85045395761 DOI 10.1103/PhysRevE.97.042207 Anotace In this comparative study, six causality detection methods were compared, namely, the Granger vector autoregressive test, the extended Granger test, the kernel version of the Granger test, the conditional mutual information (transfer entropy), the evaluation of cross mappings between state spaces, and an assessment of predictability improvement due to the use of mixed predictions. Seven test data sets were analyzed: linear coupling of autoregressive models, a unidirectional connection of two Hénon systems, a unidirectional connection of chaotic systems of Rössler and Lorenz type and of two different Rössler systems, an example of bidirectionally connected two-species systems, a fishery model as an example of two correlated observables without a causal relationship, and an example of mediated causality. We tested not only 20 000 points long clean time series but also noisy and short variants of the data. The standard and the extended Granger tests worked only for the autoregressive models. The remaining methods were more successful with the more complex test examples, although they differed considerably in their capability to reveal the presence and the direction of coupling and to distinguish causality from mere correlation. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2019 Elektronická adresa https://journals.aps.org/pre/abstract/10.1103/PhysRevE.97.042207
Počet záznamů: 1