Relating Granger causality to long-term causal effects

Information transfers and flows in Markov chains as dynamical causal effects

A logical sequence of information-theoretic quantifiers of directional (causal) couplings in Markov chains is generated within the framework of dynamical causal effects (DCEs), starting from the simplest DCEs (in terms of localization of their functional elements) and proceeding step-by-step to more complex ones. Thereby, a system of 11 quantifiers is readily obtained, some of them coinciding with previously known causality measures widely used in time series analysis and often called "information transfers" or "flows" (transfer entropy, Ay-Polani information flow, Liang-Kleeman information flow, information response, etc.,) By construction, this step-by-step generation reveals logical relationships between all these quantifiers as specific DCEs. As a further concretization, diverse quantitative relationships between the transfer entropy and the Liang-Kleeman information flow are found both rigorously and numerically for coupled two-state Markov chains.

Contributions to surface air temperature trends estimated from climate time series: Medium-term causalities

Contributions of various natural and anthropogenic factors to trends of surface air temperatures at different latitudes of the Northern and Southern hemispheres on various temporal horizons are estimated from climate data since the 19th century in empirical autoregressive models. Along with anthropogenic forcing, we assess the impact of several natural climate modes including Atlantic Multidecadal Oscillation, El-Nino/Southern Oscillation, Interdecadal Pacific Oscillation, Pacific Decadal Oscillation, and Antarctic Oscillation. On relatively short intervals of the length of two or three decades, contributions of climate variability modes are considerable and comparable to the contributions of greenhouse gases and even exceed the latter. On longer intervals of about half a century and greater, the contributions of greenhouse gases dominate at all latitudinal belts including polar, middle, and tropical ones.

Generative formalism of causality quantifiers for processes

The concept of dynamical causal effect (DCE) is generalized and equipped with a formalism which allows one to formulate in a unified manner and interrelate a variety of causality quantifiers used in time series analysis. An elementary DCE from a subsystem Y to a subsystem X is defined within the stochastic dynamical systems framework as a response of a future X state to an appropriate variation of an initial (X,Y)-state distribution or a certain parameter of Y or of the coupling element Y→X; this response is quantified in a probabilistic sense via a certain distinction functional; elementary DCEs are assembled over a set of initial variations via an assemblage functional. To include all those aspects, a "triple brackets formula" for the general DCE is suggested and serves as a first principle to produce specific causality quantifiers as realizations of the general DCE. As an application, transfer entropy and Liang-Kleeman information flow are related surprisingly as opposite limit cases in a family of DCEs; it is shown that their "nats per time unit" may differ drastically. The suggested DCE viewpoint links any formal causality quantifier to "intervention-effect" experiments, i.e., future responses to initial variations, and so provides its dynamical interpretation, opening a way to its further physical interpretations in studies of physical systems.

Phase-dynamic causalities within dynamical effects framework

This work investigates numerics of several widely known phase-dynamic quantifiers of directional (causal) couplings between oscillatory systems: transfer entropy (TE), differential quantifier, and squared-coefficients quantifier based on an evolution map. The study is performed on the system of two stochastic Kuramoto oscillators within the framework of dynamical causal effects. The quantifiers are related to each other and to an asymptotic effect of the coupling on phase diffusion. Several novel findings are listed as follows: (i) for a non-synchronous regime and high enough noise levels, the TE rate multiplied by a certain characteristic time (called here reduced TE) equals twice an asymptotic effect of a directional coupling on phase diffusion; (ii) "information flow" expressed by the TE rate unboundedly rises with the coupling coefficient even in the domain of effective synchronization; (iii) in any effective synchronization regime, the reduced TE is equal to 1/8 n.u. in each direction for equal coupling coefficients and equal noise intensities, and it is in general a simple function of the ratio of noise intensities and the ratio of coupling coefficients.

Transfer entropies within dynamical effects framework

Transfer entropy (TE) is widely used in time-series analysis to detect causal couplings between temporally evolving objects. As a coupling strength quantifier, the TE alone often seems insufficient, raising the question of its further interpretations. Here the TE is related to dynamical causal effects (DCEs) which quantify long-term responses of a coupling recipient to variations in a coupling source or in a coupling itself: Detailed relationships are established for a paradigmatic stochastic dynamical system of bidirectionally coupled linear overdamped oscillators, their practical applications and possible extensions are discussed. It is shown that two widely used versions of the TE (original and infinite-history) can become qualitatively distinct, diverging to different long-term DCEs.

Transient and equilibrium causal effects in coupled oscillators

Two quite different types of causal effects are given by (i) changes in near future states of a driven system under changes in a current state of a driving system and (ii) changes in statistical characteristics of a driven system dynamics under changes in coupling parameters, e.g., under switching the coupling off. The former can be called transient causal effects and can be estimated from a time series within the well established framework of the Wiener-Granger causality, while the latter represent equilibrium (or stationary) causal effects which are often most interesting but generally inaccessible to estimation from an observed time series recorded at fixed coupling parameters. In this work, relationships between the two kinds of causal effects are found for unidirectionally coupled stochastic linear oscillators depending on their frequencies and damping factors. Approximate closed-form expressions for these relationships are derived. Their limitations and possible extensions are discussed, and their practical applicability to extracting equilibrium causal effects from time series is argued.

Quantifying information transfer and mediation along causal pathways in complex systems

Measures of information transfer have become a popular approach to analyze interactions in complex systems such as the Earth or the human brain from measured time series. Recent work has focused on causal definitions of information transfer aimed at decompositions of predictive information about a target variable, while excluding effects of common drivers and indirect influences. While common drivers clearly constitute a spurious causality, the aim of the present article is to develop measures quantifying different notions of the strength of information transfer along indirect causal paths, based on first reconstructing the multivariate causal network. Another class of novel measures quantifies to what extent different intermediate processes on causal paths contribute to an interaction mechanism to determine pathways of causal information transfer. The proposed framework complements predictive decomposition schemes by focusing more on the interaction mechanism between multiple processes. A rigorous mathematical framework allows for a clear information-theoretic interpretation that can also be related to the underlying dynamics as proven for certain classes of processes. Generally, however, estimates of information transfer remain hard to interpret for nonlinearly intertwined complex systems. But if experiments or mathematical models are not available, then measuring pathways of information transfer within the causal dependency structure allows at least for an abstraction of the dynamics. The measures are illustrated on a climatological example to disentangle pathways of atmospheric flow over Europe.