EFFECT OF RARE SAMPLING ON ESTIMATION OF DIRECTIONAL COUPLINGS FROM TIME SERIES
Cite this article as:
Smirnov D. A., Bezruchko B. P. EFFECT OF RARE SAMPLING ON ESTIMATION OF DIRECTIONAL COUPLINGS FROM TIME SERIES. Izvestiya VUZ. Applied Nonlinear Dynamics, 2013, vol. 21, iss. 2, pp. 61-73. DOI: https://doi.org/10.18500/0869-6632-2013-21-2-61-73
The problem of detection and quantitative estimation of directional couplings (mutual influences) between systems from discrete records of their oscillations (time series) arises in different fields of research. This work shows that results of the traditional «Granger causality» approach depend essentially on a sampling interval (a time step). We have revealed the causes and character of the influence of a sampling interval on numerical values of coupling estimates. As well, we have explained why one can get erroneous conclusions about bidirectional coupling for unidirectionally coupled systems in the case of a large sampling interval (rare sampling). The rare sampling effect is demonstrated both for linear and nonlinear systems in different dynamical regimes.
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BibTeX
author = {D. A. Smirnov and B. P. Bezruchko},
title = {EFFECT OF RARE SAMPLING ON ESTIMATION OF DIRECTIONAL COUPLINGS FROM TIME SERIES},
year = {2013},
journal = {Izvestiya VUZ. Applied Nonlinear Dynamics},
volume = {21},number = {2},
url = {https://old-andjournal.sgu.ru/en/articles/effect-of-rare-sampling-on-estimation-of-directional-couplings-from-time-series},
address = {Саратов},
language = {russian},
doi = {10.18500/0869-6632-2013-21-2-61-73},pages = {61--73},issn = {0869-6632},
keywords = {Coupled nonlinear systems,time series,unidirectional coupling,bidirectional coupling,Granger causality.},
abstract = {The problem of detection and quantitative estimation of directional couplings (mutual influences) between systems from discrete records of their oscillations (time series) arises in different fields of research. This work shows that results of the traditional «Granger causality» approach depend essentially on a sampling interval (a time step). We have revealed the causes and character of the influence of a sampling interval on numerical values of coupling estimates. As well, we have explained why one can get erroneous conclusions about bidirectional coupling for unidirectionally coupled systems in the case of a large sampling interval (rare sampling). The rare sampling effect is demonstrated both for linear and nonlinear systems in different dynamical regimes. }}