Estimating Granger causality from Fourier and wavelet transforms of time series data

Details Estimating Granger causality from Fourier and wavelet transforms of time series data Estimating Granger causality from Fourier and wavelet transforms of time series data

2007-11-17

arxiv.org/abs/0711.2729v1

Physical Review Letters, v.100, 018701 (2008)

Physics

Data Analysis, Statistics and Probability

6 pages, 2 figures

Scientific paper

10.1103/PhysRevLett.100.018701

Experiments in many fields of science and engineering yield data in the form of time series. The Fourier and wavelet transform-based nonparametric methods are used widely to study the spectral characteristics of these time series data. Here, we extend the framework of nonparametric spectral methods to include the estimation of Granger causality spectra for assessing directional influences. We illustrate the utility of the proposed methods using synthetic data from network models consisting of interacting dynamical systems.

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