Time-lagged Directed Information

Directed Information (DI) has recently been introduced to quantify the causality between two signals. However, one major remaining issue with DI is the computational complexity which increases dramatically with the length of the signal. Current simplified DI computation methods are either model dependent or focus on short-time intervals losing most of the causal dependencies. In this paper, we introduce the time-lagged DI to reduce the computational complexity while still quantifying the causal relationships.