Exploratory Causal Analysis with Time Series Data

James M. McCracken

ISBN 10: 3031007816 / ISBN 13: 9783031007811

Verlag: Springer International Publishing, 2016

Beschreibung

Druck auf Anfrage Neuware - Printed after ordering - Many scientific disciplines rely on observational data of systems for which it is difficult (or impossible) to implement controlled experiments. Data analysis techniques are required for identifying causal information and relationships directly from such observational data. This need has led to the development of many different time series causality approaches and tools including transfer entropy, convergent cross-mapping (CCM), and Granger causality statistics. A practicing analyst can explore the literature to find many proposals for identifying drivers and causal connections in time series data sets. Exploratory causal analysis (ECA) provides a framework for exploring potential causal structures in time series data sets and is characterized by a myopic goal to determine which data series from a given set of series might be seen as the primary driver. In this work, ECA is used on several synthetic and empirical data sets, and it is found that all of the tested time series causality tools agree with each other (and intuitive notions of causality) for many simple systems but can provide conflicting causal inferences for more complicated systems. It is proposed that such disagreements between different time series causality tools during ECA might provide deeper insight into the data than could be found otherwise.

Bestandsnummer des Verkäufers 9783031007811

Bibliografische Details

• Titel: Exploratory Causal Analysis with Time Series Data
• Verlag: Springer International Publishing
• Erscheinungsjahr: 2016
• Sprache: Englisch
• ISBN-10: 3031007816
• ISBN-13: 9783031007811
• Einband: Taschenbuch
• Zustand: Neu
• Abmessungen: 235B x 191 H x 9 T Millimeter Breite: 235 mm, Höhe: 191 mm, Tiefe: 9 mm
• Gewicht: 291 Gramm

Über diesen Titel

Inhaltsangabe

Many scientific disciplines rely on observational data of systems for which it is difficult (or impossible) to implement controlled experiments. Data analysis techniques are required for identifying causal information and relationships directly from such observational data. This need has led to the development of many different time series causality approaches and tools including transfer entropy, convergent cross-mapping (CCM), and Granger causality statistics. A practicing analyst can explore the literature to find many proposals for identifying drivers and causal connections in time series data sets. Exploratory causal analysis (ECA) provides a framework for exploring potential causal structures in time series data sets and is characterized by a myopic goal to determine which data series from a given set of series might be seen as the primary driver. In this work, ECA is used on several synthetic and empirical data sets, and it is found that all of the tested time series causality tools agree with each other (and intuitive notions of causality) for many simple systems but can provide conflicting causal inferences for more complicated systems. It is proposed that such disagreements between different time series causality tools during ECA might provide deeper insight into the data than could be found otherwise.

Über die Autorin bzw. den Autor

James McCracken received his B.S. in Physics and B.S. in Astrophysics from the Florida Institute of Technology in 2004, his M.S. from the University of Central Florida in 2006, and his Ph.D. in Physics from George Mason University in 2015. He currently lives and works in the Washington, D.C., metro area.