Designing Bivariate Auto-Regressive Timeseries with Controlled Granger Causality

Autor:	Shohei Hidaka, Takuma Torii
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	Granger causality transfer entropy vector auto-regressive model Lyapunov equation Science Astrophysics QB460-466 Physics QC1-999
Zdroj:	Entropy, Vol 23, Iss 6, p 742 (2021)
Druh dokumentu:	article
ISSN:	1099-4300
DOI:	10.3390/e23060742
Popis:	In this manuscript, we analyze a bivariate vector auto-regressive (VAR) model in order to draw the design principle of a timeseries with a controlled statistical inter-relationship. We show how to generate bivariate timeseries with given covariance and Granger causality (or, equivalently, transfer entropy), and show the trade-off relationship between these two types of statistical interaction. In principle, covariance and Granger causality are independently controllable, but the feasible ranges of their values which allow the VAR to be proper and have a stationary distribution are constrained by each other. Thus, our analysis identifies the essential tri-lemma structure among the stability and properness of VAR, the controllability of covariance, and that of Granger causality.
Databáze:	Directory of Open Access Journals
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