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Directionality of coupling from bivariate time series:
How to avoid false causalities and missed connections

Milan Palus, Martin Vejmelka
Institute of Computer Science, Academy of Sciences of the Czech Republic
Pod vodárenskou vezí 2, 182 07 Prague 8, Czech Republic


We discuss some problems encountered in inference of directionality of coupling, or, in the case of two interacting systems, in inference of causality from bivariate time series. We identify factors and influences which can lead to either decreased test sensitivity or to false detections and propose ways how to cope with them in order to perform tests with high sensitivity and low rate of false positive results.

Phys. Rev. E 75 (2007) 056211 -- doi:10.1103/PhysRevE.75.056211
Abstract -- Preprint PDF

Milan Palus 2007