Granger causality using Jacobian in neural networks
Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here, we introduce JGC (Jacobian Granger causality), a neural network-based approach to Granger causality using the Jacobian as a measure of variable importance, and propose a variable sele...
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sg-ntu-dr.10356-1655932023-04-03T15:41:45Z Granger causality using Jacobian in neural networks Suryadi Chew, Lock Yue Ong, Yew Soon School of Physical and Mathematical Sciences School of Computer Science and Engineering Engineering::Computer science and engineering Causal Modeling Target Variable Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here, we introduce JGC (Jacobian Granger causality), a neural network-based approach to Granger causality using the Jacobian as a measure of variable importance, and propose a variable selection procedure for inferring Granger causal variables with this measure, using criteria of significance and consistency. The resulting approach performs consistently well compared to other approaches in identifying Granger causal variables, the associated time lags, as well as interaction signs. In addition, we also discuss the need for contemporaneous variables in Granger causal modeling as well as how these neural network-based approaches reduce the impact of nonseparability in dynamical systems, a problem where predictive information on a target variable is not unique to its causes, but also contained in the history of the target variable itself. Published version 2023-04-03T05:30:05Z 2023-04-03T05:30:05Z 2023 Journal Article Suryadi, Chew, L. Y. & Ong, Y. S. (2023). Granger causality using Jacobian in neural networks. Chaos: An Interdisciplinary Journal of Nonlinear Science, 33(2), 023126-. https://dx.doi.org/10.1063/5.0106666 1054-1500 https://hdl.handle.net/10356/165593 10.1063/5.0106666 36859223 2-s2.0-85148673584 2 33 023126 en Chaos: An Interdisciplinary Journal of Nonlinear Science © 2023 Author(s). All rights reserved. This article may be downloaded for personal use only. Any other use requires prior permission of the author and AIP Publishing. This article appeared in Suryadi, Chew, L. Y. & Ong, Y. S. (2023). Granger causality using Jacobian in neural networks. Chaos: An Interdisciplinary Journal of Nonlinear Science, 33(2), 023126- and may be found at https://dx.doi.org/10.1063/5.0106666. application/pdf |
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Engineering::Computer science and engineering Causal Modeling Target Variable Suryadi Chew, Lock Yue Ong, Yew Soon Granger causality using Jacobian in neural networks |
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Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here, we introduce JGC (Jacobian Granger causality), a neural network-based approach to Granger causality using the Jacobian as a measure of variable importance, and propose a variable selection procedure for inferring Granger causal variables with this measure, using criteria of significance and consistency. The resulting approach performs consistently well compared to other approaches in identifying Granger causal variables, the associated time lags, as well as interaction signs. In addition, we also discuss the need for contemporaneous variables in Granger causal modeling as well as how these neural network-based approaches reduce the impact of nonseparability in dynamical systems, a problem where predictive information on a target variable is not unique to its causes, but also contained in the history of the target variable itself. |
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School of Physical and Mathematical Sciences |
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School of Physical and Mathematical Sciences Suryadi Chew, Lock Yue Ong, Yew Soon |
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Article |
author |
Suryadi Chew, Lock Yue Ong, Yew Soon |
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Suryadi |
title |
Granger causality using Jacobian in neural networks |
title_short |
Granger causality using Jacobian in neural networks |
title_full |
Granger causality using Jacobian in neural networks |
title_fullStr |
Granger causality using Jacobian in neural networks |
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Granger causality using Jacobian in neural networks |
title_sort |
granger causality using jacobian in neural networks |
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2023 |
url |
https://hdl.handle.net/10356/165593 |
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1764208166527041536 |