msGC - Matlab Tool for the computation of
multiscale Granger Causality
In the study of complex physical and biological systems represented
by multivariate stochastic processes, an issue of great relevance is
the description of the system dynamics spanning multiple
temporal scales. While methods to assess the dynamic complexity of
individual processes at different time scales are well-established,
multiscale analysis of directed interactions has never been formalized
theoretically, and empirical evaluations are complicated by practical
issues such as filtering and downsampling.
We extend the very popular measure of Granger causality (GC), a
prominent tool for assessing directed lagged interactions between joint
processes, to quantify information transfer across multiple time
scales. We show that the multiscale processing of a vector
autoregressive (AR) process introduces a moving average (MA) component,
and describe how to represent the resulting ARMA process using state
space (SS) models and to combine the SS model parameters for computing
exact GC values at arbitrarily large time scales. We exploit the
theoretical formulation to identify peculiar features of multiscale GC
in basic AR processes, and demonstrate with numerical simulations the
much larger estimation accuracy of the SS approach compared with pure
AR modeling of filtered and downsampled data. The improved computational
reliability is exploited to disclose meaningful multiscale patterns of
information transfer between global temperature and carbon dioxide
concentration time series, both in paleoclimate and in recent years.
The msGC Matlab toolbox reproduces algorithms, simulations and real data analysis reported in [1].
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References:
[1] L Faes, S Stramaglia, G Nollo, D Marinazzo, 'Multiscale Granger causality', Phys. Rev. E, 2017, 96:042150 (7 pages). DOI: 10.1103/PhysRevE.96.042150.
DOWNLOAD:
Zip file with all scripts and functions: msGC.zip
The code is provided free of charge. It is neither exhaustively tested nor particularly well documented. The authors accept no liability for its use. Use, modification and redistribution of the code is allowed in any way users see fit. Authors ask only that authorship is acknowledged and ref. [1] is cited upon utilization of the code in integral or partial form.
DISCLAIMER OF WARRANTIES AND LIMITATION OF LIABILITY The code is supplied as is and all use is at your own risk. The authors disclaim all warranties of any kind, either express or implied, as to the softwares, including, but not limited to, implied warranties of fitness for a particular purpose, merchantability or non - infringement of proprietary rights. Neither this agreement nor any documentation furnished under it is intended to express or imply any warranty that the operation of the software will be error - free. Under no circumstances shall the authors of the softwares provided here be liable to any user for direct, indirect, incidental, consequential, special, or exemplary damages, arising from the software, or user' s use or misuse of the softwares. Such limitation of liability shall apply whether the damages arise from the use or misuse of the data provided or errors of the software.
To get started, we recommend that you run and work through the demonstration scripts.
Main functions
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- mscg.m: computes Granger causality at a given scale from assigned VAR parameters
- iss_PV: computes partial variances for a state space model from innovations form SS parameters
- iss_ss2iss.m: computes innovations form SS parameters from SS parameters
- iss_varma2iss.m: computes innovations form SS parameters from VARMA parameters
- iss_ds.m: computes innovations form SS parameters for a downsampled SS model
External functions
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- egc_gcMVAR.m (LinReg, linReg_Ftest, SetLag, buildvectors): functions to compute standard time domain Granger Causality
- eMVAR_idMVAR.m (choldiag, InstModelFilter, mos_idMVAR, MVARfilter): functions to identify and simulate a MVAR process
- surriaaft.m (surrshuf): functions to generate IAAFT surrogates
Scripts
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- test_ssGC.m: computation of multiscale GC with state-space models for simple simulated VAR processes
- PRE2017_simulationA.m: realizes simulation A of [1]
- PRE2017_simulationB.m: realizes simulation b of [1]
- PRE2017_application_modern.m: realizes application to modern climate data performed in [1]
- PRE2017_application_paleo.m: realizes application to paleolithic climate data performed in [1]
Data
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- data_modern.mat (data_modern_L1-filtered): climatological time series analyzed in [1] (modern climate data)
- data_800.mat: climatological time series analyzed in [1] (paleolithic climate data)
NOTE: the iss_ds and ss2iss functions are taken from the State-Space Granger Causality Matlab Toolbox - http://users.sussex.ac.uk/~lionelb/downloads/ssgc.zip