Package: VLTimeCausality 0.1.5

VLTimeCausality: Variable-Lag Time Series Causality Inference Framework

A framework to infer causality on a pair of time series of real numbers based on variable-lag Granger causality and transfer entropy. Typically, Granger causality and transfer entropy have an assumption of a fixed and constant time delay between the cause and effect. However, for a non-stationary time series, this assumption is not true. For example, considering two time series of velocity of person A and person B where B follows A. At some time, B stops tying his shoes, then running to catch up A. The fixed-lag assumption is not true in this case. We propose a framework that allows variable-lags between cause and effect in Granger causality and transfer entropy to allow them to deal with variable-lag non-stationary time series. Please see Chainarong Amornbunchornvej, Elena Zheleva, and Tanya Berger-Wolf (2021) <doi:10.1145/3441452> when referring to this package in publications.

Authors:Chainarong Amornbunchornvej [aut, cre]

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VLTimeCausality.pdf |VLTimeCausality.html✨
VLTimeCausality/json (API)
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Bug tracker:https://github.com/darkeyes/vltimeseriescausality/issues

On CRAN:

causal-inferencegranger-causalitytime-seriestime-series-analysistransfer-entropy

11 exports 51 stars 3.22 score 47 dependencies 1 mentions 9 scripts 448 downloads

Last updated 4 months agofrom:e5e140b437. Checks:OK: 7. Indexed: yes.

Exports:checkMultipleSimulationVLtimeseriesfollowingRelationGrangerFuncMultipleSimulationVLtimeseriesmultipleVLGrangerFuncmultipleVLTransferEntropyplotTimeSeriesSimpleSimulationVLtimeseriesTSNANNearestNeighborPropagationVLGrangerFuncVLTransferEntropy

Dependencies:clicodetoolscolorspacecurldigestdtwfansifarverfuturefuture.applyggplot2globalsgluegtableisobandjsonlitelabelinglatticelifecyclelistenvmagrittrMASSMatrixmgcvmunsellnlmeparallellypillarpkgconfigproxyquadprogquantmodR6RColorBrewerRcpprlangRTransferEntropyscalestibbletseriesTTRutf8vctrsviridisLitewithrxtszoo