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Nelin. Dinam., 2014, Volume 10, Number 3, Pages 279–295 (Mi nd443)  

This article is cited in 5 scientific papers (total in 5 papers)

Optimal selection of parameters of the forecasting models used for the nonlinear Granger causality method in application to the signals with a main time scales

Maxim V. Kornilova, Ilya V. Sysoeva, Boris P. Bezrychkoab

a Saratov State University named after N. G. Chernyshevsky, Astrahanskaya st. 83, Saratov, 410012, Russia
b Saratov Branch, Kotel'nikov Institute of Radio-Engineering and Electronics, Russian Academy of Sciences, Zelenaya 38, Saratov, 410019, Russia

Abstract: The detection of coupling presence and direction between various systems using their time series is a common task in many areas of knowledge. One of the approaches used to solve it is nonlinear Granger causality method. It is based on the construction of forecasting models, so its efficiency defends on selection of model parameters. Two parameters are important for modeling signals with a main time scales: lag that is used for state vector reconstruction and prediction length. In this paper, we propose two criteria for evaluating performance of the method of nonlinear Granger causality. These criteria allow to select lag and prediction length, that provide the best sensitivity and specificity. Sensitivity determines the weakest coupling method can detect, and specificity refers to the ability to avoid false positive results. As a result of the criteria application to several etalon unidirectionally coupled systems, practical recommendations for the selection of the model parameters (lag and prediction length) were formulated.

Keywords: search for coupling, Granger causality, modeling from time series.

Full text: PDF file (1117 kB)
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UDC: 530.182, 51-73
MSC: 37M10
Received: 21.04.2014
Revised: 08.08.2014

Citation: Maxim V. Kornilov, Ilya V. Sysoev, Boris P. Bezrychko, “Optimal selection of parameters of the forecasting models used for the nonlinear Granger causality method in application to the signals with a main time scales”, Nelin. Dinam., 10:3 (2014), 279–295

Citation in format AMSBIB
\Bibitem{KorSysBez14}
\by Maxim~V.~Kornilov, Ilya~V.~Sysoev, Boris~P.~Bezrychko
\paper Optimal selection of parameters of the forecasting models used for the nonlinear Granger causality method in application to the signals with a~main time scales
\jour Nelin. Dinam.
\yr 2014
\vol 10
\issue 3
\pages 279--295
\mathnet{http://mi.mathnet.ru/nd443}


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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. T. M. Medvedeva, F. B. Paramonov, I. V. Sysoev, “Effekt uvelicheniya chuvstvitelnosti metoda prichinnosti po Greindzheru s rostom izmeritelnogo shuma”, Nelineinaya dinam., 11:4 (2015), 657–670  mathnet
    2. M. V. Sysoeva, A. Luettjohann, G. van Luijtelaar, I. V. Sysoev, “Dynamics of directional coupling underlying spike-wave discharges”, Neuroscience, 314 (2016), 75–89  crossref  isi
    3. M. R. Garifullin, A. V. Barabash, E. A. Naumova, O. V. Zhuvak, T. Jokinen, M. Heinisuo, “Surrogate modeling for initial rotational stiffness of welded tubular joints”, Mag. Civ. Eng., 63:3 (2016), 53–76  crossref  isi
    4. M. V. Sysoeva, E. Sitnikova, I. V. Sysoev, “Thalamo-cortical mechanisms of initiation, maintenance and termination of spike-wave discharges at WAG/Rij rats”, Zhurnal Vyss. Nervn. Deyatelnosti Im. I. P. Pavlov, 66:1 (2016), 103–112  crossref  isi
    5. M. V. Kornilov, I. V. Sysoev, “Otsenka rabotosposobnosti metoda prichinnosti po Greindzheru dlya vyyavleniya odnonapravlennoi svyazi pri nalichii obschei vneshnei nizkochastotnoi pomekhi”, Nelineinaya dinam., 13:3 (2017), 349–362  mathnet  crossref  elib
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