Generalized Partial Directed Coherence

This paper re-examines the definition of partial directed coherence (PDC) which was recently introduced as a linear frequency-domain quantifier of the multivariate relationship between simultaneously observed time series for application in functional connectivity inference in neuroscience. The present reappraisal aims at improving PDC´s performance under scenarios that involve severely unbalanced predictive modelling errors (innovations noise). The present modification turns out to be more robust in estimating imprecisions associated with finite time series samples.