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Title: Explorations of Temporal Causality Using Partial Coherence
In this paper we explore partial coherence as a tool for evaluating the causal, anti-causal, or mixed-causal dependence of one time series on another. The key idea is to establish a connection between questions of causality and partial coherence. Once this connection is established, then a scale-invariant partial coherence statistic is used to resolve the question of temporal causality. This coherence statistic is shown to be a likelihood ratio. It may be computed from a composite covariance matrix or from its inverse, the information matrix. Numerical experiments demonstrate the application of partial coherence to the resolution of temporal causality.  more » « less
Award ID(s):
1712788
PAR ID:
10096813
Author(s) / Creator(s):
;
Date Published:
Journal Name:
2018 52nd Asilomar Conference on Signals, Systems, and Computers
Page Range / eLocation ID:
1767 to 1771
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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