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A framework to infer causality on a pair of time series of real numbers based on variable-lag Granger causality and transfer entropy. Typically, Granger causality and transfer entropy have an assumption of a fixed and constant time delay between the cause and effect. However, for a non-stationary time series, this assumption is not true. For example, considering two time series of velocity of person A and person B where B follows A. At some time, B stops tying his shoes, then running to catch up A. The fixed-lag assumption is not true in this case. We propose a framework that allows variable-lags between cause and effect in Granger causality and transfer entropy to allow them to deal with variable-lag non-stationary time series. Please see Chainarong Amornbunchornvej, Elena Zheleva, and Tanya Berger-Wolf (2021) <doi:10.1145/3441452> when referring to this package in publications.
Version: | 0.1.5 |
Depends: | R (≥ 3.5.0), dtw, tseries, RTransferEntropy |
Imports: | ggplot2 (≥ 3.0) |
Suggests: | knitr, rmarkdown, markdown |
Published: | 2024-05-28 |
DOI: | 10.32614/CRAN.package.VLTimeCausality |
Author: | Chainarong Amornbunchornvej
|
Maintainer: | Chainarong Amornbunchornvej <grandca at gmail.com> |
BugReports: | https://github.com/DarkEyes/VLTimeSeriesCausality/issues |
License: | GPL-3 |
URL: | https://github.com/DarkEyes/VLTimeSeriesCausality |
NeedsCompilation: | no |
Language: | en-US |
Citation: | VLTimeCausality citation info |
Materials: | README NEWS |
CRAN checks: | VLTimeCausality results |
Reference manual: | VLTimeCausality.pdf |
Vignettes: |
VLTimeCausality_demo |
Package source: | VLTimeCausality_0.1.5.tar.gz |
Windows binaries: | r-devel: VLTimeCausality_0.1.5.zip, r-release: VLTimeCausality_0.1.5.zip, r-oldrel: VLTimeCausality_0.1.5.zip |
macOS binaries: | r-release (arm64): VLTimeCausality_0.1.5.tgz, r-oldrel (arm64): VLTimeCausality_0.1.5.tgz, r-release (x86_64): VLTimeCausality_0.1.5.tgz, r-oldrel (x86_64): VLTimeCausality_0.1.5.tgz |
Old sources: | VLTimeCausality archive |
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These binaries (installable software) and packages are in development.
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