Conditional Granger causality of diffusion processes

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985807:_____/17:00480176

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Conditional Granger causality of diffusion processes

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Conditional Granger causality of diffusion processes

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Physical Journal B

ISSN

1434-6028

e-ISSN

—

Svazek periodika

90

Číslo periodika v rámci svazku

10

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

8

Strana od-do

"Article Number: 197"

Kód UT WoS článku

000413404000006

EID výsledku v databázi Scopus

2-s2.0-85031499043