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Brown-2010-A GENERAL STATISTICAL FRAMEWORK
Brown-2010-A GENERAL STATISTICAL FRAMEWORK
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Citation: Kim, Sanggyun, and Emery N. Brown. “A General Statistical Framework for Assessing
Granger Causality.” in Proceedings of the 2010 IEEE International Conference on Acoustics
Speech and Signal Processing (ICASSP), IEEE, Sheraton Dallas Hotel, Dallas, TX, 14-19 March
2010. 2222–2225. Web. ©2010 IEEE.
As Published: http://dx.doi.org/10.1109/ICASSP.2010.5495775
Version: Final published version: final published article, as it appeared in a journal, conference
proceedings, or other formally published context
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A GENERAL STATISTICAL FRAMEWORK FOR ASSESSING GRANGER CAUSALITY
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density functions of xi and xj . So we can define the measure /*& 3URSRVHG
of dependence between xi and xj as
(IIHFWV
Li (θ ji )Lj (θ ij )
Γi,j = log . (6)
Lij (θ ij )
&DXVHV &DXVHV
Using the definitions cited above, we obtained
(a) (b) (c)
Γi,j = Γij + Γji + Γi·j . (7) Fig. 1. (a) Three time series interact one another based on
the shown network. (b) The LGC failed to estimate the orig-
Therefore, the total dependence between two time series xi inal network. (c) The connectivity pattern estimated by the
and xj is decomposed into three measures: two unidirectional proposed framework exactly matched the original one of (a).
Granger causality measures between xi and xj and one nondi-
rectional instantaneous causality measure between them.
were 15,000 samples of x1 and x3 of Gamma distribution and
5. SIMULATIONS x2 of Poisson distribution, whose means depended on the past
values through the link function of each distribution as (8),
In this paper, we used the GLM framework to model the dis- which are given by
tribution of time series [10]. In a GLM framework, each time
series is assumed to be generated from a particular distribu- 1/μ1 (t|x(t)) = 1 + 0.5x1 (t − 1) + x2 (t − 1) + 0.5x3 (t − 2),
tion function in the exponential family, which allows us to log μ2 (t|x(t)) = 1 + x1 (t − 2), (9)
model count data by Poisson, binomial, and multinomial dis-
1/μ3 (t|x(t)) = 2 + 0.5x3 (t − 1).
tributions as well as skewed data by Gamma distributions. We
analyzed the Granger causality in the GLM framework based We partitioned the generated data into three complemen-
on an assumption that the mean of each time series depends tary subsets and used the first 5,000 samples for the training
on its own history and the past values of concurrent time se- and the remaining 10,000 samples for the testing. The es-
ries as timated causality networks using both algorithms are shown
in Fig. 1 (b) and (c); White circle represents causal relation-
ship from ‘Cause’ to ‘Effect’. As shown in Fig. 1 (b) the
E[xi (t)] = μi (t|x(t)) = gi−1 (x(t)T θ i ) (8) LGC failed to estimate the original causal interactions; how-
where E[xi (t)] is the expected value of xi (t) and gi is the link ever, the proposed predicted nature of interactions between
function [10]. data with a high accuracy as shown in Fig. 1 (c).
The proposed framework was compared to the LGC for
the mixture model of continuous- and discrete-valued time 5.3. Neural spike train data
series and for the binary model such as spike train data.
In this paper, we assessed the Granger causality between syn-
Prior to performing simulations, a model for each time
thetically generated spike train data using the proposed frame-
series was selected. We fitted several models with different
work, combined with a point process statistics. The discrete,
model order to each time series and then identified the best
all-or-nothing nature of a sequence of spike train together
approximating model from among a set of candidates using
with their statistical structures suggests that a neural spike
Akaike’s information criterion (AIC) [12].
train data can be regarded as a point process [13]. To model
the effect of its own and other time series past values, the log-
5.1. Gaussian case arithm of the conditional intensity function, λ(t|x(t)), which
As mentioned previously, when the distribution of time se- completely characterizes a point process, is expressed as a lin-
ries is assumed to be Gaussian, the Granger causality measure ear combination of the past values. This is similar to a Poisson
based on the likelihood ratio statistic is equivalent to the LGC case of the GLM. Three spike train data were generated based
[6]; The log-likelihood ratio of (3) is reduced to the difference on the three-neuron network of Fig. 2 (a). The firing proba-
of the variances of prediction errors. bility of each neuron is modulated by a self-inhibitory (black)
interactions in addition to the inhibitory (black) and excita-
tory (white) interactions. The parameter vectors for the self-
5.2. Mixture model
inhibitory, inhibitory, and excitatory interactions are given by
We analyzed the Granger causality for the mixture model of [-1 -0.5], [-0.5 -1], and [0.5 1], respectively. Each neuron
both continuous- and discrete-valued time series. For anal- had a spontaneous firing rate of 15 Hz, and the time resolu-
ysis, based on the causality network of Fig. 1 (a) generated tion was 1 ms. An absolute refractory period of 1 ms was
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/*& 3URSRVHG real data we usually don’t know the ground truth, thus we
used simulated data to evaluate the performance of the pro-
(IIHFWV
posed framework in this work. In future investigations, the
proposed framework will be applied to assess the causality
between real data such as recorded neural spike train data.
&DXVHV &DXVHV
7. REFERENCES
(a) (b) (c)
[1] Brovelli et al., “Beta oscillations in a large-scale senso-
Fig. 2. (a) Three-neuron network. Each neuron was self- rimotor cortical network: directional influences revealed
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excitatory (white) connections. (b) The LGC failed to iden- 101, pp. 9849–9854, 2004.
tify the original causal network. (c) The proposed framework
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causality pattern estimated by only the proposed framework
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6. DISCUSSION
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