Relating Granger causality to directed information theory for networks of stochastic processes

Details Relating Granger causality to directed information theory for networks of stochastic processes Relating Granger causality to directed information theory for networks of stochastic processes

2009-11-15

arxiv.org/abs/0911.2873v4

Computer Science

Information Theory

submitted, completely rehaul, new title, added recent references, more emphasis on general case

Scientific paper

This paper addresses the problem of inferring circulation of information between multiple stochastic processes. We discuss two possible frameworks in which the problem can be studied: directed information theory and Granger causality. The main goal of the paper is to study the connection between these two frameworks. In the case of directed information theory, we stress the importance of Kramer's causal conditioning. This type of conditioning is necessary not only in the definition of the directed information but also for handling causal side information. We also show how directed information decomposes into the sum of two measures, the first one related to Schreiber's transfer entropy quantifies the dynamical aspects of causality, whereas the second one, termed instantaneous information exchange, quantifies the instantaneous aspect of causality. After having recalled the definition of Granger causality, we establish its connection with directed information theory. The connection is particularly studied in the Gaussian case, showing that Geweke's measures of Granger causality correspond to the transfer entropy and the instantaneous information exchange. This allows to propose an information theoretic formulation of Granger causality.

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