Granger-causality maps of diffusion processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00023752%3A_____%2F16%3A43914946" target="_blank" >RIV/00023752:_____/16:43914946 - isvavai.cz</a>
Result on the web
<a href="https://journals.aps.org/pre/abstract/10.1103/PhysRevE.93.022213" target="_blank" >https://journals.aps.org/pre/abstract/10.1103/PhysRevE.93.022213</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1103/PhysRevE.93.022213" target="_blank" >10.1103/PhysRevE.93.022213</a>
Alternative languages
Result language
angličtina
Original language name
Granger-causality maps of diffusion processes
Original language description
Granger causality is a statistical concept devised to reconstruct and quantify predictive information flow between stochastic processes. Although the general concept can be formulated model-free it is often considered in the framework of linear stochastic processes. Here we show how local linear model descriptions can be employed to extend Granger causality into the realm of nonlinear systems. This novel treatment results in maps that resolve Granger causality in regions of state space. Through examples we provide a proof of concept and illustrate the utility of these maps. Moreover, by integration we convert the local Granger causality into a global measure that yields a consistent picture for a global Ornstein-Uhlenbeck process. Finally, we recover invariance transformations known from the theory of autoregressive processes.
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/GA13-23940S" target="_blank" >GA13-23940S: Personality and spontaneous brain activity during rest and movie watching: relation and structural determinants</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physical Review E
ISSN
1539-3755
e-ISSN
—
Volume of the periodical
93
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
9
Pages from-to
"Article Number: 022213"
UT code for WoS article
000370248300012
EID of the result in the Scopus database
2-s2.0-84959387235