Measures of mutual and causal dependence between two time series (Corresp.)
- 1 July 1987
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 33 (4), 598-601
- https://doi.org/10.1109/tit.1987.1057325
Abstract
New measures are proposed for mutual and causal dependence between two time series, based on information theoretical ideas. The measure of mutual dependence is shown to be the sum of the measure of unidirectional causal dependence from the first time series to the second, the measure of unidirectional causal dependence from the second to the first, and the measure of instantaneous causal dependence. The measures are applicable to any kind of time series: continuous, discrete, or categorical.Keywords
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