Quantifying Causal Coupling Strength: A Lag-specific Measure For Multivariate Time Series Related To Transfer Entropy

@article{Runge2012QuantifyingCC,
  title={Quantifying Causal Coupling Strength: A Lag-specific Measure For Multivariate Time Series Related To Transfer Entropy},
  author={Jakob Runge and Jobst Heitzig and Norbert Marwan and Juergen Kurths},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2012},
  volume={86 6 Pt 1},
  pages={061121}
}
While it is an important problem to identify the existence of causal associations between two components of a multivariate time series, a topic addressed in Runge, Heitzig, Petoukhov, and Kurths [Phys. Rev. Lett. 108, 258701 (2012)], it is even more important to assess the strength of their association in a meaningful way. In the present article we focus on the problem of defining a meaningful coupling strength using information-theoretic measures and demonstrate the shortcomings of the well… CONTINUE READING
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