Towards a Framework for Observational Causality from Time Series: When Shannon Meets Turing

Mapping Intimacies ◽

10.20944/preprints202001.0106.v1 ◽

2020 ◽

Author(s):

David Sigtermans

Keyword(s):

Time Series ◽

Single Channel ◽

Communication Channels ◽

Transfer Entropy ◽

Bivariate Analysis ◽

Noisy Channels ◽

Transmission Of Information ◽

Data Processing Inequality ◽

Causal Structures

We propose a novel tensor-based formalism for inferring causal structures from time series. An information theoretical analysis of transfer entropy (TE), shows that TE results from transmission of information over a set of communication channels. Tensors are the mathematical equivalents of these multi-channel causal channels. A multi-channel causal channel is a generalization of a discrete memoryless channel (DMC). We consider a DMC as a single-channel causal channel. Investigation of a system comprising three variables shows that in our formalism, bivariate analysis suffices to differentiate between direct and indirect relations. For this to be true, we have to combine the output of multi-channel causal channels with the output of single-channel causal channels. We can understand this result when we consider the role of noise. Subsequent transmission of information over noisy channels can never result in less noisy transmission overall. This implies that a Data Processing Inequality (DPI) exists for transfer entropy.

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Towards a Framework for Observational Causality from Time Series: When Shannon Meets Turing

Entropy ◽

10.3390/e22040426 ◽

2020 ◽

Vol 22 (4) ◽

pp. 426 ◽

Cited By ~ 1

Author(s):

David Sigtermans

Keyword(s):

Time Series ◽

Theoretical Analysis ◽

Communication Channels ◽

Transfer Entropy ◽

Total Effect ◽

Bivariate Analysis ◽

Transmission Of Information ◽

Data Processing Inequality ◽

Tensor Multiplication ◽

Causal Structures

We propose a tensor based approach to infer causal structures from time series. An information theoretical analysis of transfer entropy (TE) shows that TE results from transmission of information over a set of communication channels. Tensors are the mathematical equivalents of these multichannel causal channels. The total effect of subsequent transmissions, i.e., the total effect of a cascade, can now be expressed in terms of the tensors of these subsequent transmissions using tensor multiplication. With this formalism, differences in the underlying structures can be detected that are otherwise undetectable using TE or mutual information. Additionally, using a system comprising three variables, we prove that bivariate analysis suffices to infer the structure, that is, bivariate analysis suffices to differentiate between direct and indirect associations. Some results translate to TE. For example, a Data Processing Inequality (DPI) is proven to exist for transfer entropy.

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Determining the verse of magnetic turbulent cascades in the Earth's magnetospheric cusp via transfer entropy analysis: preliminary results

Nonlinear Processes in Geophysics ◽

10.5194/npg-14-153-2007 ◽

2007 ◽

Vol 14 (2) ◽

pp. 153-161 ◽

Cited By ~ 14

Author(s):

M. Materassi ◽

A. Wernik ◽

E. Yordanova

Keyword(s):

Magnetic Field ◽

Time Series ◽

Transfer Entropy ◽

Entropy Analysis ◽

Continuous Wavelets ◽

Analysis Technique ◽

Magnetospheric Cusp ◽

The Magnetic Field ◽

Turbulent Cascade

Abstract. The inter-scale coupling in the dynamics of the magnetic field in the Earth's magnetospheric cusp is studied with the technique of transfer entropy. This is a non-linear data analysis technique conceived to determine which is the process that plays the role of the "dynamical driver" between two processes interacting. The time series of the magnetic field components measured along the trajectory of a spacecraft through the cusp are decomposed via continuous wavelets, so a time series of the square modulus of the wavelet coefficients may be associated to each scale ℓ considered. The coupling between to two nearby scales is studied, with the purpose of singling out turbulent cascade directions from large to small scales and viceversa. Preliminary physical conclusions are proposed.

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The role of parental self-regulation and household chaos in parent-toddler interactions: A time-series study.

Journal of Family Psychology ◽

10.1037/fam0000814 ◽

2020 ◽

Author(s):

Sanne B. Geeraerts ◽

Joyce Endendijk ◽

Kirby Deater-Deckard ◽

Jorg Huijding ◽

Marike H. F. Deutz ◽

...

Keyword(s):

Time Series ◽

Self Regulation ◽

Household Chaos ◽

Time Series Study ◽

Series Study

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Exploring the Role of Meteorological Factors in Predicting Incident Pulmonary Tuberculosis: A Time-Series Study in Eastern China

SSRN Electronic Journal ◽

10.2139/ssrn.3667848 ◽

2020 ◽

Author(s):

Zhongqi Li ◽

Hongqiu Pan ◽

Qiao Liu ◽

Jianming Wang

Keyword(s):

Time Series ◽

Pulmonary Tuberculosis ◽

Meteorological Factors ◽

Eastern China ◽

Time Series Study ◽

Series Study

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The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling

Mathematics ◽

10.3390/math9050513 ◽

2021 ◽

Vol 9 (5) ◽

pp. 513

Author(s):

Olga Fullana ◽

Mariano González ◽

David Toscano

Keyword(s):

Time Series ◽

Model Performance ◽

Listed Firms ◽

Valuation Model ◽

Residual Income Valuation ◽

Equity Value ◽

Short Run ◽

Time Series Approach ◽

Linear Information

In this paper, we test whether the short-run econometric conditions for the basic assumptions of the Ohlson valuation model hold, and then we relate these results with the fulfillment of the short-run econometric conditions for this model to be effective. Better future modeling motivated us to analyze to what extent the assumptions involved in this seminal model are not good enough approximations to solve the firm valuation problem, causing poor model performance. The model is based on the well-known dividend discount model and the residual income valuation model, and it adds a linear information model, which is a time series model by nature. Therefore, we adopt the time series approach. In the presence of non-stationary variables, we focus our research on US-listed firms for which more than forty years of data with the required cointegration properties to use error correction models are available. The results show that the clean surplus relation assumption has no impact on model performance, while the unbiased accounting property assumption has an important effect on it. The results also emphasize the uselessness of forcing valuation models to match the value displacement property of dividends.

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Calibrating the CreditRisk+ Model at Different Time Scales and in Presence of Temporal Autocorrelation †

Mathematics ◽

10.3390/math9141679 ◽

2021 ◽

Vol 9 (14) ◽

pp. 1679

Author(s):

Jacopo Giacomelli ◽

Luca Passalacqua

Keyword(s):

Time Series ◽

Default Risk ◽

Real Life ◽

Statistical Error ◽

Real Data ◽

Sampling Period ◽

Calibration Procedure ◽

Industry Standards ◽

Default Rate

The CreditRisk+ model is one of the industry standards for the valuation of default risk in credit loans portfolios. The calibration of CreditRisk+ requires, inter alia, the specification of the parameters describing the structure of dependence among default events. This work addresses the calibration of these parameters. In particular, we study the dependence of the calibration procedure on the sampling period of the default rate time series, that might be different from the time horizon onto which the model is used for forecasting, as it is often the case in real life applications. The case of autocorrelated time series and the role of the statistical error as a function of the time series period are also discussed. The findings of the proposed calibration technique are illustrated with the support of an application to real data.

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Seasonality in extra-pulmonary tuberculosis notifications in Germany 2004-2014- a time series analysis

BMC Public Health ◽

10.1186/s12889-021-10655-6 ◽

2021 ◽

Vol 21 (1) ◽

Author(s):

Tanja Charles ◽

Matthias Eckardt ◽

Basel Karo ◽

Walter Haas ◽

Stefan Kröger

Keyword(s):

Time Series ◽

Time Series Analysis ◽

Disease Onset ◽

Age Groups ◽

Age Group ◽

Pulmonary Tb ◽

Series Analysis ◽

Disease Site ◽

Extra Pulmonary

Abstract Background Seasonality in tuberculosis (TB) has been found in different parts of the world, showing a peak in spring/summer and a trough in autumn/winter. The evidence is less clear which factors drive seasonality. It was our aim to identify and evaluate seasonality in the notifications of TB in Germany, additionally investigating the possible variance of seasonality by disease site, sex and age group. Methods We conducted an integer-valued time series analysis using national surveillance data. We analysed the reported monthly numbers of started treatments between 2004 and 2014 for all notified TB cases and stratified by disease site, sex and age group. Results We detected seasonality in the extra-pulmonary TB cases (N = 11,219), with peaks in late spring/summer and troughs in fall/winter. For all TB notifications together (N = 51,090) and for pulmonary TB only (N = 39,714) we did not find a distinct seasonality. Additional stratified analyses did not reveal any clear differences between age groups, the sexes, or between active and passive case finding. Conclusion We found seasonality in extra-pulmonary TB only, indicating that seasonality of disease onset might be specific to the disease site. This could point towards differences in disease progression between the different clinical disease manifestations. Sex appears not to be an important driver of seasonality, whereas the role of age remains unclear as this could not be sufficiently investigated.

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The Effect of Using Social Media in the Modern Marketing Communication on the Shaping an External Employer’s Image

Energies ◽

10.3390/en14144177 ◽

2021 ◽

Vol 14 (14) ◽

pp. 4177

Author(s):

Agnieszka Izabela Baruk ◽

Grzegorz Wesołowski

Keyword(s):

World Literature ◽

Statistical Tests ◽

Empirical Studies ◽

Communication Channels ◽

Primary Data ◽

Survey Method ◽

Marketing Communication ◽

Chi Square ◽

The Impact

The aim of this article was to determine the significance of modern marketing communication channels used in the process of shaping the external image of an enterprise as an employer. An analysis of the world literature on marketing, management, marketing communication and human resource management was used to prepare the theoretical part. The results of the analysis indicate a cognitive and research gap regarding the use of modern communication channels for building the external image of an enterprise in the role of an employer. In order to reduce the gap, empirical studies were conducted among young Polish potential employees, in which the survey method was used to gather primary data. The collected data were subjected to statistical analysis, during which the following methods and statistical tests were applied: the analysis of average values, exploratory factor analysis, Kruskal–Wallis test (KW), Pearson chi-square independence test and V-Cramer coefficient analysis. The results of the analyses conducted indicate, inter alia, that statistically significant diversity was identified in the case of non-professional media in terms of respondents’ opinions on whether the employer’s image created by modern media is better than the employer’s image created on the basis of classical marketing communication channels. In the case of professional and non-professional media, the age of the respondents was not a differentiating feature. Moreover, neither for professional media nor for non-professional media were statistically significant dependencies identified between respondents’ opinions on the impact of actions undertaken by enterprises on shaping their positive external image as an employer and respondents’ opinions on whether the employer’s image created on the basis of modern marketing communication channels is more beneficial than the employer’s image created on the basis of classical marketing communication channels. The results obtained on the basis of the research have a cognitive and applicability value, characterized by originality. Until now, the importance of using modern marketing communication channels in shaping the employer’s external image has not been analysed. This also applies to enterprises operating on the energy market.

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