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 Nelin. Dinam.: Year: Volume: Issue: Page: Find

 Nelin. Dinam., 2017, Volume 13, Number 3, Pages 349–362 (Mi nd570)

Original papers

Estimating the efficiency of the Granger causality method for detecting unidirectional coupling in the presence of common low frequency interference

M. V. Kornilovab, I. V. Sysoevab

a Saratov State University, ul. Astrakhanskaya 83, Saratov, 410026, Russia
b Saratov Branch of Kotelnikov’s Institute of Radio-Engineering and Electronics of RAS, ul. Zelenaya 38, Saratov, 410019, Russia

Abstract: External low-frequency interference (including interference with a pronounced main frequency) is a common problem in measurements of complex signals, which can affect results of coupling estimation. Since it is impossible to completely remove the interference without affecting the signal itself, the question arises: what distorts the results of coupling estimation to a lesser extent: filtering the interference or ignoring it?
The Granger causality (GC) method is one of the most popular approaches to the detection of directional coupling from observed signals. GC uses predictive empirical models, mostly, linear and nonlinear autoregressive models (recurrence maps). Since the method is highly parametric, its success depends primarily on the parameters of the models and on the properties of the signals. Therefore, the method has to be adapted to the data. In physiology and climatology, most signals have a pronounced time scale, so one of the most important problems is that of adapting the Granger causality method to signals with a selected time scale.
The purpose of this paper is to formulate recommendations for using the Granger causality method for signals with a pronounced temporal scale in the presence of common low-frequency interference. In this paper, we restrict our attention to the case of testing for unilateral coupling and use the recommendations and criteria, developed earlier, for the effectiveness of the method. The sensitivity and specificity of the method are estimated based on surrogate time series. The testing is performed using reference systems of nonlinear dynamics and radiophysics.
It is shown that the loss of sensitivity and specificity of the method decrease nonlinearly with increasing amplitude of the total interference. This dependence varies for different parameters of the method. If the power of interference is several per cent of the signal power, the best results can be achieved by an appropriate choice of parameters of the method rather than by filtering the interference. At a higher noise power, filtering is preferable.

Keywords: time series, coupling analysis, Granger causality, low frequency interference

 Funding Agency Grant Number Russian Foundation for Basic Research 17-02-00307 Ministry of Education and Science of the Russian Federation CÏ-1510.2015.4

DOI: https://doi.org/10.20537/nd1703004

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UDC: 530.182, 51-73
MSC: 37M10
Accepted:14.08.2017

Citation: M. V. Kornilov, I. V. Sysoev, “Estimating the efficiency of the Granger causality method for detecting unidirectional coupling in the presence of common low frequency interference”, Nelin. Dinam., 13:3 (2017), 349–362

Citation in format AMSBIB
\Bibitem{KorSys17} \by M.~V.~Kornilov, I.~V.~Sysoev \paper Estimating the efficiency of the Granger causality method for detecting unidirectional coupling in the presence of common low frequency interference \jour Nelin. Dinam. \yr 2017 \vol 13 \issue 3 \pages 349--362 \mathnet{http://mi.mathnet.ru/nd570} \crossref{https://doi.org/10.20537/nd1703004} \elib{http://elibrary.ru/item.asp?id=29993265}