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Conditional Granger Causality of Diffusion Processes
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SYSNO ASEP 0480176 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Conditional Granger Causality of Diffusion Processes Tvůrce(i) Wahl, B. (DE)
Feudel, U. (DE)
Hlinka, Jaroslav (UIVT-O) RID, SAI, ORCID
Wächter, M. (DE)
Peinke, J. (DE)
Freund, J.A. (DE)Číslo článku 197 Zdroj.dok. European Physical Journal B. - : Springer - ISSN 1434-6028
Roč. 90, č. 10 (2017)Poč.str. 8 s. Jazyk dok. eng - angličtina Země vyd. DE - Německo Klíč. slova Granger causality ; stochastic process ; diffusion process ; nonlinear dynamical systems Vědní obor 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) CEP GA13-23940S GA ČR - Grantová agentura ČR NV15-29835A GA MZd - Ministerstvo zdravotnictví Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000413404000006 EID SCOPUS 85031499043 DOI 10.1140/epjb/e2017-80015-x Anotace 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. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2018
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