Robust inference of causality in high-dimensional dynamical processes from the Information Imbalance of distance ranks
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We introduce an approach which allows inferring causal relationships between variables for which the time evolution is available. Our method builds on the ideas of Granger Causality and Transfer Entropy, but overcomes most of their limitations. Specifically, our approach tests whether the predictability of a putative driven system Y can be improved by incorporating information from a potential driver system X, without making assumptions on the underlying dynamics and without the need to compute probability densities of the dynamic variables. Causality is assessed by a rigorous variational scheme based on the Information Imbalance of distance ranks, a recently developed statistical test capable of inferring the relative information content of different distance measures. This framework makes causality detection possible even for high-dimensional systems where only few of the variables are known or measured. Benchmark tests on coupled dynamical systems demonstrate that our approach outperforms other model-free causality detection methods, successfully handling both unidirectional and bidirectional couplings, and it is capable of detecting the arrow of time when present. We also show that the method can be used to robustly detect causality in electroencephalography data in humans.
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