Publication

Assessing Dependences within Multivariate Time Series Partializing the Knowledge of Thirds

Oscar De Feo, Cristian Carmeli
2006
Conference paper

Abstract

A method to estimate from multivariate measurements the dependences within a network of coupled dynamical systems is proposed. The method is non-parametric and resorts to a statistics of the eigen-spectrums of the time series partial correlation matrices. The method is successfully validated on numerically generated data, demonstrating its capability to distinguish between direct and indirect dependences.

Official source

https://infoscience.epfl.ch/record/118276?ln=en

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Assessing Dependences within Multivariate Time Series Partializing the Knowledge of Thirds

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