Physics – Data Analysis – Statistics and Probability
Scientific paper
2007-11-19
Physical Review E, v. 75, 031123 (2007)
Physics
Data Analysis, Statistics and Probability
16 pages, 7 figures
Scientific paper
10.1103/PhysRevE.75.031123
Computing Granger causal relations among bivariate experimentally observed time series has received increasing attention over the past few years. Such causal relations, if correctly estimated, can yield significant insights into the dynamical organization of the system being investigated. Since experimental measurements are inevitably contaminated by noise, it is thus important to understand the effects of such noise on Granger causality estimation. The first goal of this paper is to provide an analytical and numerical analysis of this problem. Specifically, we show that, due to noise contamination, (1) spurious causality between two measured variables can arise and (2) true causality can be suppressed. The second goal of the paper is to provide a denoising strategy to mitigate this problem. Specifically, we propose a denoising algorithm based on the combined use of the Kalman filter theory and the Expectation-Maximization (EM) algorithm. Numerical examples are used to demonstrate the effectiveness of the denoising approach.
Ding Mingzhou
Nalatore Hariharan
Rangarajan Govindan
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