Shortcomings of transfer entropy and partial transfer entropy: Extending them to escape the curse of dimensionality

04/24/2020

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Transfer entropy (TE) captures the directed relationships between two variables. Partial transfer entropy (PTE) accounts for the presence of all confounding variables of a multivariate system and infers only about direct causality. However, the computation of PTE involves high dimensional distributions and thus may not be robust in case of many variables. In this work, different variants of PTE are introduced, by building a reduced number of confounding variables based on different scenarios in terms of their interrelationships with the driving or response variable. Connectivity-based PTE variants and utilizing the random forests (RF) methodology are evaluated on synthetic time series. The empirical findings indicate the superiority of the suggested variants over TE and PTE, especially in case of high dimensional systems.

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Shortcomings of transfer entropy and partial transfer entropy: Extending them to escape the curse of dimensionality

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Shortcomings of transfer entropy and partial transfer entropy: Extending them to escape the curse of dimensionality

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