DocumentCode
3420161
Title
Correntropy based Granger causality
Author
Park, Il ; Príncipe, José C.
Author_Institution
Lab. of Comput. NeuroEngineering, Florida Univ., Gainesville, FL
fYear
2008
fDate
March 31 2008-April 4 2008
Firstpage
3605
Lastpage
3608
Abstract
We propose a novel nonlinear extension to Granger causality. It is derived from a nonlinear mapping of a stochastic process using the recently introduced generalized correlation measure called correntropy. The method is demonstrated by detecting the direction of coupling in a chaotic system where the original Granger causality failed.
Keywords
correlation methods; entropy; stochastic processes; Granger causality; chaotic system; correntropy; generalized correlation measure; nonlinear extension; nonlinear mapping; stochastic process; Chaos; Gaussian processes; Kernel; Laboratories; Neural engineering; Nonlinear systems; Predictive models; Random variables; Reactive power; Stochastic processes; Causality; Nonlinear systems;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech and Signal Processing, 2008. ICASSP 2008. IEEE International Conference on
Conference_Location
Las Vegas, NV
ISSN
1520-6149
Print_ISBN
978-1-4244-1483-3
Electronic_ISBN
1520-6149
Type
conf
DOI
10.1109/ICASSP.2008.4518432
Filename
4518432
Link To Document