Conditional Granger causality 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_____%2F17%3A43919304" target="_blank" >RIV/00023752:_____/17:43919304 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/17:00480176
Result on the web
<a href="https://link.springer.com/article/10.1140%2Fepjb%2Fe2017-80015-x" target="_blank" >https://link.springer.com/article/10.1140%2Fepjb%2Fe2017-80015-x</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1140/epjb/e2017-80015-x" target="_blank" >10.1140/epjb/e2017-80015-x</a>
Alternative languages
Result language
angličtina
Original language name
Conditional Granger causality of diffusion processes
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Physical Journal B
ISSN
1434-6028
e-ISSN
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Volume of the periodical
90
Issue of the periodical within the volume
10
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
"Article Number: 197"
UT code for WoS article
000413404000006
EID of the result in the Scopus database
2-s2.0-85031499043