Practical measures of integrated information for time-series data

A recent measure of ‘integrated information’, ΦDM, quantifies the extent to which a system generates more information than the sum of its parts as it transitions between states, possibly reflecting levels of consciousness generated by neural systems. However, ΦDM is defined only for discrete Markov systems, which are unusual in biology; as a result, ΦDM can rarely be measured in practice. Here, we describe two new measures, ΦE and ΦAR, that overcome these limitations and are easy to apply to time-series data. We use simulations to demonstrate the in-practice applicability of our measures, and to explore their properties. Our results provide new opportunities for examining information integration in real and model systems and carry implications for relations between integrated information, consciousness, and other neurocognitive processes. However, our findings pose challenges for theories that ascribe physical meaning to the measured quantities

Measuring integrated information from the decoding perspective

Accumulating evidence indicates that the capacity to integrate information in the brain is a prerequisite for consciousness. Integrated Information Theory (IIT) of consciousness provides a mathematical approach to quantifying the information integrated in a system, called integrated information, $\Phi$. Integrated information is defined theoretically as the amount of information a system generates as a whole, above and beyond the sum of the amount of information its parts independently generate. IIT predicts that the amount of integrated information in the brain should reflect levels of consciousness. Empirical evaluation of this theory requires computing integrated information from neural data acquired from experiments, although difficulties with using the original measure $\Phi$ precludes such computations. Although some practical measures have been previously proposed, we found that these measures fail to satisfy the theoretical requirements as a measure of integrated information. Measures of integrated information should satisfy the lower and upper bounds as follows: The lower bound of integrated information should be 0 when the system does not generate information (no information) or when the system comprises independent parts (no integration). The upper bound of integrated information is the amount of information generated by the whole system and is realized when the amount of information generated independently by its parts equals to 0. Here we derive the novel practical measure $\Phi^*$ by introducing a concept of mismatched decoding developed from information theory. We show that $\Phi^*$ is properly bounded from below and above, as required, as a measure of integrated information. We derive the analytical expression $\Phi^*$ under the Gaussian assumption, which makes it readily applicable to experimental data

Volatility forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1

Practical volatility and correlation modeling for financial market risk management

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds

Fast and exact search for the partition with minimal information loss

In analysis of multi-component complex systems, such as neural systems, identifying groups of units that share similar functionality will aid understanding of the underlying structures of the system. To find such a grouping, it is useful to evaluate to what extent the units of the system are separable. Separability or inseparability can be evaluated by quantifying how much information would be lost if the system were partitioned into subsystems, and the interactions between the subsystems were hypothetically removed. A system of two independent subsystems are completely separable without any loss of information while a system of strongly interacted subsystems cannot be separated without a large loss of information. Among all the possible partitions of a system, the partition that minimizes the loss of information, called the Minimum Information Partition (MIP), can be considered as the optimal partition for characterizing the underlying structures of the system. Although the MIP would reveal novel characteristics of the neural system, an exhaustive search for the MIP is numerically intractable due to the combinatorial explosion of possible partitions. Here, we propose a computationally efficient search to precisely identify the MIP among all possible partitions by exploiting the submodularity of the measure of information loss. Mutual information is one such submodular information loss functions, and is a natural choice for measuring the degree of statistical dependence between paired sets of random variables. By using mutual information as a loss function, we show that the search for MIP can be performed in a practical order of computational time for a reasonably large system. We also demonstrate that MIP search allows for the detection of underlying global structures in a network of nonlinear oscillators

General anesthesia reduces complexity and temporal asymmetry of the informational structures derived from neural recordings in Drosophila

We apply techniques from the field of computational mechanics to evaluate the statistical complexity of neural recording data from fruit flies. First, we connect statistical complexity to the flies' level of conscious arousal, which is manipulated by general anesthesia (isoflurane). We show that the complexity of even single channel time series data decreases under anesthesia. The observed difference in complexity between the two states of conscious arousal increases as higher orders of temporal correlations are taken into account. We then go on to show that, in addition to reducing complexity, anesthesia also modulates the informational structure between the forward- and reverse-time neural signals. Specifically, using three distinct notions of temporal asymmetry we show that anesthesia reduces temporal asymmetry on information-theoretic and information-geometric grounds. In contrast to prior work, our results show that: (1) Complexity differences can emerge at very short timescales and across broad regions of the fly brain, thus heralding the macroscopic state of anesthesia in a previously unforeseen manner, and (2) that general anesthesia also modulates the temporal asymmetry of neural signals. Together, our results demonstrate that anesthetized brains become both less structured and more reversible.Comment: 14 pages, 6 figures. Comments welcome; Added time-reversal analysis, updated discussion, new figures (Fig. 5 & Fig. 6) and Tables (Tab. 1

Efficient Algorithms for Searching the Minimum Information Partition in Integrated Information Theory

The ability to integrate information in the brain is considered to be an essential property for cognition and consciousness. Integrated Information Theory (IIT) hypothesizes that the amount of integrated information ($\Phi$) in the brain is related to the level of consciousness. IIT proposes that to quantify information integration in a system as a whole, integrated information should be measured across the partition of the system at which information loss caused by partitioning is minimized, called the Minimum Information Partition (MIP). The computational cost for exhaustively searching for the MIP grows exponentially with system size, making it difficult to apply IIT to real neural data. It has been previously shown that if a measure of $\Phi$ satisfies a mathematical property, submodularity, the MIP can be found in a polynomial order by an optimization algorithm. However, although the first version of $\Phi$ is submodular, the later versions are not. In this study, we empirically explore to what extent the algorithm can be applied to the non-submodular measures of $\Phi$ by evaluating the accuracy of the algorithm in simulated data and real neural data. We find that the algorithm identifies the MIP in a nearly perfect manner even for the non-submodular measures. Our results show that the algorithm allows us to measure $\Phi$ in large systems within a practical amount of time