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Effect of measurement noise on Granger causality

Nalatore, Hariharan and Sasikumar, N and Rangarajan, Govindan (2015) Effect of measurement noise on Granger causality. In: PHYSICAL REVIEW E, 90 (6).

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Official URL: http://dx.doi.org/ 10.1103/PhysRevE.90.062127

Abstract

Most of the signals recorded in experiments are inevitably contaminated by measurement noise. Hence, it is important to understand the effect of such noise on estimating causal relations between such signals. A primary tool for estimating causality is Granger causality. Granger causality can be computed by modeling the signal using a bivariate autoregressive (AR) process. In this paper, we greatly extend the previous analysis of the effect of noise by considering a bivariate AR process of general order p. From this analysis, we analytically obtain the dependence of Granger causality on various noise-dependent system parameters. In particular, we show that measurement noise can lead to spurious Granger causality and can suppress true Granger causality. These results are verified numerically. Finally, we show how true causality can be recovered numerically using the Kalman expectation maximization algorithm.

Item Type: Journal Article
Additional Information: Copy right for this article belongs to the AMER PHYSICAL SOC, ONE PHYSICS ELLIPSE, COLLEGE PK, MD 20740-3844 USA
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Depositing User: Id for Latest eprints
Date Deposited: 19 Mar 2015 12:12
Last Modified: 19 Mar 2015 12:12
URI: http://eprints.iisc.ac.in/id/eprint/51066

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