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Granger causality from quantized measurements

Authors: Ahmadi, S; Nair, GN; Weyer, E;

Granger causality from quantized measurements

Abstract

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 a partial finite-order Markov property, a characterization of Granger causality in terms of the rank of a matrix involving the covariances is presented. We call this the causality matrix. The smallest singular value of the causality matrix gives a lower bound on the distance between the two conditional Gaussian distributions appearing in the definition of Granger causality and yields a new measure of causality. Then, conditions are derived under which Granger causality between jointly Gaussian processes can be reliably inferred from the second order moments of quantized measurements. A necessary and sufficient condition is proposed for Granger causality inference under binary quantization. Furthermore, sufficient conditions are introduced to infer Granger causality between jointly Gaussian signals through measurements quantized via non-uniform, uniform or high resolution quantizers. Apart from the assumed partial Markov order and joint Gaussianity, this approach does not require the parameters of a system model to be identified. No assumptions are made on the identifiability of the jointly Gaussian random processes through the quantized observations. The effectiveness of the proposed method is illustrated by simulation results.

Country
Australia
Related Organizations
Keywords

Statistics, Information and communication theory, circuits, Granger causality, FOS: Electrical engineering, electronic engineering, information engineering, quantization, Systems and Control (eess.SY), causal inference, Electrical Engineering and Systems Science - Systems and Control

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
3
Top 10%
Average
Average
Green