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Since interactions in neural systems occur across multiple temporal scales, it is likely that information flow will exhibit a multiscale structure, thus requiring a multiscale generalization of classical temporal precedence causality analysis like Grangers approach. However, the computation of multiscale measures of information dynamics is complicated by theoretical and practical issues such as filtering and undersampling: to overcome these problems, we propose a wavelet-based approach for multiscale Granger causality (GC) analysis, which is characterized by the following properties: (i) only the candidate driver variable is wavelet transformed (ii) the decomposition is performed using the `a trous wavelet transform with cubic B-spline filter. We measure GC, at a given scale, by including the wavelet coefficients of the driver times series, at that scale, in the regression model of the target. To validate our method, we apply it to publicly available scalp EEG signals, and we find that the condition of closed eyes, at rest, is characterized by an enhanced GC among channels at slow scales w.r.t. eye open condition, whilst the standard Granger causality is not significantly different in the two conditions.
Granger causality is a statistical notion of causal influence based on prediction via vector autoregression. For Gaussian variables it is equivalent to transfer entropy, an information-theoretic measure of time-directed information transfer between j
In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic com
Identifying directed interactions between species from time series of their population densities has many uses in ecology. This key statistical task is equivalent to causal time series inference, which connects to the Granger causality (GC) concept:
An approach is proposed for inferring Granger causality between jointly stationary, Gaussian signals from quantized data. First, a necessary and sufficient rank criterion for the equality of two conditional Gaussian distributions is proved. Assuming
Introduced more than a half century ago, Granger causality has become a popular tool for analyzing time series data in many application domains, from economics and finance to genomics and neuroscience. Despite this popularity, the validity of this no