Kernel method for nonlinear Granger causality

Daniele Marinazzo, Mario Pellicoro, Sebastiano Stramaglia

Published 2007-11-16, updated 2008-03-20Version 2

Important information on the structure of complex systems, consisting of more than one component, can be obtained by measuring to which extent the individual components exchange information among each other. Such knowledge is needed to reach a deeper comprehension of phenomena ranging from turbulent fluids to neural networks, as well as complex physiological signals. The linear Granger approach, to detect cause-effect relationships between time series, has emerged in recent years as a leading statistical technique to accomplish this task. Here we generalize Granger causality to the nonlinear case using the theory of reproducing kernel Hilbert spaces. Our method performs linear Granger causality in the feature space of suitable kernel functions, assuming arbitrary degree of nonlinearity. We develop a new strategy to cope with the problem of overfitting, based on the geometry of reproducing kernel Hilbert spaces. Applications to coupled chaotic maps and physiological data sets are presented.