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On the spectral formulation of Granger causality. (English) Zbl 1248.92006
Summary: Spectral measures of causality are used to explore the role of different rhythms in the causal connectivity between brain regions. We study several spectral measures related to Granger causality, comprising the bivariate and conditional Geweke measures, the directed transfer function, and the partial directed coherence. We derive the formulation of dependence and causality in the spectral domain from the more general formulation in the information-theory framework. We argue that the transfer entropy, the most general measure derived from the concept of Granger causality, lacks a spectral representation in terms of only the processes associated with the recorded signals. For all the spectral measures we show how they are related to mutual information rates when explicitly considering the parametric autoregressive representation of the processes. In this way we express the conditional Geweke spectral measure in terms of a multiple coherence involving innovation variables inherent to the autoregressive representation. We also link partial directed coherence with Sims’ criterion of causality. Given our results, we discuss the causal interpretation of the spectral measures related to Granger causality and stress the necessity to explicitly consider their specific formulation based on modeling the signals as linear Gaussian stationary autoregressive processes.

92C20 Neural biology
92B25 Biological rhythms and synchronization
62M15 Inference from stochastic processes and spectral analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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