Equivalence of Granger Causality and Transfer Entropy: A Generalization.

Equivalence of Granger Causality and Transfer Entropy: A Generalization.

Abstract

Barnett et al. in 2009 proved that Granger causality and transfer en-tropy causality measure are equivalent for time series which have aGaussian distribution. Granger causality test is linear, while trans-fer entropy a non-linear test. Many biological and physical mechanismsshow to have non-Gaussian distributions. In this paper we investigateunder which conditions on probability density distributions of the datacan the equivalence of the two causality measures be extended. In thecomplexity sense ”cheaper” linear Granger test can be applied for de-tection of causality in time series satisfying these conditions. Theseresults have an impact on causality detection in common biological andphysical time series.

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Authors
  • Schindlerova, Katerina
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Shortfacts
Category
Journal Paper
Divisions
Data Mining
Subjects
Theoretische Informatik
Journal or Publication Title
Applied Mathematical Sciences
ISSN
1314-7552
Publisher
Applied Mathematical Sciences, Hikari
Page Range
3637 -3648
Number
73
Volume
5
Date
January 2011
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