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Directed information theory deals with communication channels with feedback. When applied to networks, a natural extension based on causal conditioning is needed. We show here that measures built from directed information theory in networks can be used to assess Granger causality graphs of stochastic processes. We show that directed information theory(More)
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a <i>p</i>-multivariate self-similar Gaussian process parameterized by <i>p</i> different Hurst exponents <i>Hi</i>, <i>p</i> scaling coefficients &#x03C3;<i>i</i>(More)