skip to main content
OSTI.GOV title logo U.S. Department of Energy
Office of Scientific and Technical Information

Title: Mitigating the effects of measurement noise on Granger causality

Abstract

Computing Granger causal relations among bivariate experimentally observed time series has received increasing attention over the past few years. Such causal relations, if correctly estimated, can yield significant insights into the dynamical organization of the system being investigated. Since experimental measurements are inevitably contaminated by noise, it is thus important to understand the effects of such noise on Granger causality estimation. The first goal of this paper is to provide an analytical and numerical analysis of this problem. Specifically, we show that, due to noise contamination (1) spurious causality between two measured variables can arise and (2) true causality can be suppressed. The second goal of the paper is to provide a denoising strategy to mitigate this problem. Specifically, we propose a denoising algorithm based on the combined use of the Kalman filter theory and the expectation-maximization algorithm. Numerical examples are used to demonstrate the effectiveness of the denoising approach.

Authors:
; ;  [1];  [2]
  1. J. Crayton Pruitt Family Department of Biomedical Engineering, University of Florida, Gainesville, Florida 32611 (United States)
  2. (India)
Publication Date:
OSTI Identifier:
21072394
Resource Type:
Journal Article
Resource Relation:
Journal Name: Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics; Journal Volume: 75; Journal Issue: 3; Other Information: DOI: 10.1103/PhysRevE.75.031123; (c) 2007 The American Physical Society; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 46 INSTRUMENTATION RELATED TO NUCLEAR SCIENCE AND TECHNOLOGY; ALGORITHMS; CALCULATION METHODS; CAUSALITY; NOISE; NUMERICAL ANALYSIS; OPTIMIZATION; QUANTUM MECHANICS; SIGNALS

Citation Formats

Nalatore, Hariharan, Ding Mingzhou, Rangarajan, Govindan, and Department of Mathematics, Indian Institute of Science, Bangalore 560 012. Mitigating the effects of measurement noise on Granger causality. United States: N. p., 2007. Web. doi:10.1103/PHYSREVE.75.031123.
Nalatore, Hariharan, Ding Mingzhou, Rangarajan, Govindan, & Department of Mathematics, Indian Institute of Science, Bangalore 560 012. Mitigating the effects of measurement noise on Granger causality. United States. doi:10.1103/PHYSREVE.75.031123.
Nalatore, Hariharan, Ding Mingzhou, Rangarajan, Govindan, and Department of Mathematics, Indian Institute of Science, Bangalore 560 012. Thu . "Mitigating the effects of measurement noise on Granger causality". United States. doi:10.1103/PHYSREVE.75.031123.
@article{osti_21072394,
title = {Mitigating the effects of measurement noise on Granger causality},
author = {Nalatore, Hariharan and Ding Mingzhou and Rangarajan, Govindan and Department of Mathematics, Indian Institute of Science, Bangalore 560 012},
abstractNote = {Computing Granger causal relations among bivariate experimentally observed time series has received increasing attention over the past few years. Such causal relations, if correctly estimated, can yield significant insights into the dynamical organization of the system being investigated. Since experimental measurements are inevitably contaminated by noise, it is thus important to understand the effects of such noise on Granger causality estimation. The first goal of this paper is to provide an analytical and numerical analysis of this problem. Specifically, we show that, due to noise contamination (1) spurious causality between two measured variables can arise and (2) true causality can be suppressed. The second goal of the paper is to provide a denoising strategy to mitigate this problem. Specifically, we propose a denoising algorithm based on the combined use of the Kalman filter theory and the expectation-maximization algorithm. Numerical examples are used to demonstrate the effectiveness of the denoising approach.},
doi = {10.1103/PHYSREVE.75.031123},
journal = {Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics},
number = 3,
volume = 75,
place = {United States},
year = {Thu Mar 15 00:00:00 EDT 2007},
month = {Thu Mar 15 00:00:00 EDT 2007}
}
  • Does physics describe anything that can meaningfully be called independent reality, or is it merely operational. Most physicists implicitly favor an intermediate standpoint, which takes quantum physics into account, but which nevertheless strongly holds fast to quite strictly realistic ideas about apparently obvious facts concerning the macro-objects. Part 1 of this article, which is a survey of recent measurement theories, shows that, when made explicit, the standpoint in question cannot be upheld. Part 2 brings forward a proposal for making minimal changes to this standpoint in such a way as to remove such objections. The empirical reality thus constructed ismore » a notion that, to some extent, does ultimately refer to the human means of apprehension and of data processing. It nevertheless cannot be said that it reduces to a mere name just labelling a set of recipes that never fail. It is shown that their usual notion of macroscopic causality must be endowed with similar features.« less
  • The problems of boom towns are important to state and national governments as well as to the affected communities. Case studies of small Western communities describe the socio-economic, governmental, and labor-market problems associated with energy-development growth. No entirely satisfactory way to mitigate these problems has emerged, nor is it likely that a single blueprint can be universally applied. The author recommends a needs assessment program with public participation that focuses community attention on areas of post-boom as well as boom factors; a revision of the legal system to deal with rapid growth; the use of revenues to develop an adequatemore » infrastructure; and intergovernmental cooperation. 143 references.« less
  • Abstract not provided.