Granger causality analysis is a popular method for inference on directed
interactions in complex systems of many variables. A shortcoming of the
standard framework for Granger causality is that it only allows for examination
of interactions between single (univariate) variables within a system, perhaps
conditioned on other variables. However, interactions do not necessarily take
place between single variables, but may occur among groups, or "ensembles", of
variables. In this study we establish a principled framework for Granger
causality in the context of causal interactions among two or more multivariate
sets of variables. Building on Geweke's seminal 1982 work, we offer new
justifications for one particular form of multivariate Granger causality based
on the generalized variances of residual errors. Taken together, our results
support a comprehensive and theoretically consistent extension of Granger
causality to the multivariate case. Treated individually, they highlight
several specific advantages of the generalized variance measure, which we
illustrate using applications in neuroscience as an example. We further show
how the measure can be used to define "partial" Granger causality in the
multivariate context and we also motivate reformulations of "causal density"
and "Granger autonomy". Our results are directly applicable to experimental
data and promise to reveal new types of functional relations in complex
systems, neural and otherwise.Comment: added 1 reference, minor change to discussion, typos corrected; 28
pages, 3 figures, 1 table, LaTe
