1,993 research outputs found
The MVGC multivariate Granger causality toolbox: a new approach to Granger-causal inference
Background: Wiener-Granger causality (“G-causality”) is a statistical notion of causality applicable to time series data, whereby cause precedes, and helps predict, effect. It is defined in both time and frequency domains, and allows for the conditioning out of common causal influences. Originally developed in the context of econometric theory, it has since achieved broad application in the neurosciences and beyond. Prediction in the G-causality formalism is based on VAR (Vector AutoRegressive) modelling.
New Method: The MVGC Matlab c Toolbox approach to G-causal inference is based on multiple equivalent representations of a VAR model by (i) regression parameters, (ii) the autocovariance sequence and (iii) the cross-power spectral density of the underlying process. It features a variety of algorithms for moving between these representations, enabling selection of the most suitable algorithms with regard to computational efficiency and numerical accuracy.
Results: In this paper we explain the theoretical basis, computational strategy and application to empirical G-causal inference of the MVGC Toolbox. We also show via numerical simulations the advantages of our Toolbox over previous methods in terms of computational accuracy and statistical inference.
Comparison with Existing Method(s): The standard method of computing G-causality involves estimation of parameters for both a full and a nested (reduced) VAR model. The MVGC approach, by contrast, avoids explicit estimation of the reduced model, thus eliminating a source of estimation error and improving statistical power, and in addition facilitates fast and accurate estimation of the computationally awkward case of conditional G-causality in the frequency domain.
Conclusions: The MVGC Toolbox implements a flexible, powerful and efficient approach to G-causal inference.
Keywords: Granger causality, vector autoregressive modelling, time series analysi
Autocovariance estimation in regression with a discontinuous signal and -dependent errors: A difference-based approach
We discuss a class of difference-based estimators for the autocovariance in
nonparametric regression when the signal is discontinuous (change-point
regression), possibly highly fluctuating, and the errors form a stationary
-dependent process. These estimators circumvent the explicit pre-estimation
of the unknown regression function, a task which is particularly challenging
for such signals. We provide explicit expressions for their mean squared errors
when the signal function is piecewise constant (segment regression) and the
errors are Gaussian. Based on this we derive biased-optimized estimates which
do not depend on the particular (unknown) autocovariance structure. Notably,
for positively correlated errors, that part of the variance of our estimators
which depends on the signal is minimal as well. Further, we provide sufficient
conditions for -consistency; this result is extended to piecewise
Holder regression with non-Gaussian errors.
We combine our biased-optimized autocovariance estimates with a
projection-based approach and derive covariance matrix estimates, a method
which is of independent interest. Several simulation studies as well as an
application to biophysical measurements complement this paper.Comment: 41 pages, 3 figures, 3 table
Regression analysis with missing data and unknown colored noise: application to the MICROSCOPE space mission
The analysis of physical measurements often copes with highly correlated
noises and interruptions caused by outliers, saturation events or transmission
losses. We assess the impact of missing data on the performance of linear
regression analysis involving the fit of modeled or measured time series. We
show that data gaps can significantly alter the precision of the regression
parameter estimation in the presence of colored noise, due to the frequency
leakage of the noise power. We present a regression method which cancels this
effect and estimates the parameters of interest with a precision comparable to
the complete data case, even if the noise power spectral density (PSD) is not
known a priori. The method is based on an autoregressive (AR) fit of the noise,
which allows us to build an approximate generalized least squares estimator
approaching the minimal variance bound. The method, which can be applied to any
similar data processing, is tested on simulated measurements of the MICROSCOPE
space mission, whose goal is to test the Weak Equivalence Principle (WEP) with
a precision of . In this particular context the signal of interest is
the WEP violation signal expected to be found around a well defined frequency.
We test our method with different gap patterns and noise of known PSD and find
that the results agree with the mission requirements, decreasing the
uncertainty by a factor 60 with respect to ordinary least squares methods. We
show that it also provides a test of significance to assess the uncertainty of
the measurement.Comment: 12 pages, 4 figures, to be published in Phys. Rev.
Millisecond and Binary Pulsars as Nature's Frequency Standards. II. Effects of Low-Frequency Timing Noise on Residuals and Measured Parameters
Pulsars are the most stable natural frequency standards. They can be applied
to a number of principal problems of modern astronomy and time-keeping
metrology. The full exploration of pulsar properties requires obtaining
unbiased estimates of the spin and orbital parameters. These estimates depend
essentially on the random noise component being revealed in the residuals of
time of arrivals (TOA). In the present paper, the influence of low-frequency
("red") timing noise with spectral indices from 1 to 6 on TOA residuals,
variances, and covariances of estimates of measured parameters of single and
binary pulsars are studied. In order to determine their functional dependence
on time, an analytic technique of processing of observational data in time
domain is developed which takes into account both stationary and non-stationary
components of noise. Our analysis includes a simplified timing model of a
binary pulsar in a circular orbit and procedure of estimation of pulsar
parameters and residuals under the influence of red noise. We reconfirm that
uncorrelated white noise of errors of measurements of TOA brings on gradually
decreasing residuals, variances and covariances of all parameters. On the other
hand, we show that any red noise causes the residuals, variances, and
covariances of certain parameters to increase with time. Hence, the low
frequency noise corrupts our observations and reduces experimental
possibilities for better tests of General Relativity Theory. We also treat in
detail the influence of a polynomial drift of noise on the residuals and
fitting parameters. Results of the analitic analysis are used for discussion of
a statistic describing stabilities of kinematic and dynamic pulsar time scales.Comment: 40 pages, 1 postscript figure, 1 picture, uses mn.sty, accepted to
Mon. Not. Roy. Astron. So
Application of Advanced Estimation Techniques to a Chemical Plant Model
The paper is aimed at comparing some of the most promising and novel advanced techniques for estimation by assessing their effectiveness on the chemical process benchmark. Global and distributed implementations of the extended Kalman filter are the key elements of the work. In addition, the paper is also aimed at describing and developing a recursive implementation of the autocovariance least square algorithm for the on-line updating of the tuning knobs of the filter, demonstrating its relevance in the performance monitoring of chemical processes
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