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On the evaluation of information flow in multivariate systems by the directed transfer function. (English) Zbl 1138.62048
Summary: The directed transfer function (DTF) has been proposed as a measure of information flow between the components of multivariate time series. We discuss the interpretation of the DTF and compare it with other measures for directed relationships. We show that the DTF does not indicate multivariate or bivariate Granger causality, but that it is closely related to the concept of impulse response function and can be viewed as a spectral measure for the total causal influence from one component to another. Furthermore, we investigate the statistical properties of the DTF and establish a simple significance level for testing for the null hypothesis of no information flow.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
92B05 General biology and biomathematics
62P10 Applications of statistics to biology and medical sciences; meta analysis
90B18 Communication networks in operations research
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