Title :
Correntropy based Granger causality
Author :
Park, Il ; Príncipe, José C.
Author_Institution :
Lab. of Comput. NeuroEngineering, Florida Univ., Gainesville, FL
fDate :
March 31 2008-April 4 2008
Abstract :
We propose a novel nonlinear extension to Granger causality. It is derived from a nonlinear mapping of a stochastic process using the recently introduced generalized correlation measure called correntropy. The method is demonstrated by detecting the direction of coupling in a chaotic system where the original Granger causality failed.
Keywords :
correlation methods; entropy; stochastic processes; Granger causality; chaotic system; correntropy; generalized correlation measure; nonlinear extension; nonlinear mapping; stochastic process; Chaos; Gaussian processes; Kernel; Laboratories; Neural engineering; Nonlinear systems; Predictive models; Random variables; Reactive power; Stochastic processes; Causality; Nonlinear systems;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2008. ICASSP 2008. IEEE International Conference on
Conference_Location :
Las Vegas, NV
Print_ISBN :
978-1-4244-1483-3
Electronic_ISBN :
1520-6149
DOI :
10.1109/ICASSP.2008.4518432
