Robust Statistics for Describing Causality in Multivariate Time Series

A widely agreed upon definition of time series causality inference, established in the seminal 1969 article of Clive Granger (1969), is based on the relative ability of the history of one time series to predict the current state of another, conditional on all other past information. While the Granger Causality (GC) principle remains uncontested, its literal application is challenged by practical and physical limitations of the process of discretely sampling continuous dynamic systems. Advances in methodology for time-series causality subsequently evolved mainly in econometrics and brain imaging: while each domain has specific data and noise characteristics the basic aims and challenges are similar. Dynamic interactions may occur at higher temporal or spatial resolution than our ability to measure them, which leads to the potentially false inference of causation where only correlation is present. Causality assignment can be seen as the principled partition of spectral coherence among i...

• Type: Journal
• Year: 2011
• Where: JMLR
• Authors: Florin Popescu
• Keywords: Additive Noise, JMLR 2011, Series Causality Inference, Time Series