Causality

General discussions and questions about recurrence plot related methods.

Causality

Postby DiegoF » Tue Sep 2, 2014 05:30

Hi, my name is Diego Fernandez from Uruguay. I am doing my Master Thesis in Economics. I'm using RQA measures to analyze Dow Jones. Is it posible to analyze causality betwen two time series aplying RQA? If it possible how I can analyze causality?
Thanks
DiegoF
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Re: Causality

Postby Norbert » Wed Sep 3, 2014 18:33

There are different ways for causality tests using recurrence plots. I suggest to look into the rich literature:

  • Y. Zou, M. C. Romano, M. Thiel, N. Marwan, J. Kurths: Inferring Indirect Coupling by Means of Recurrences, International Journal of Bifurcation and Chaos, 21(4), 1099–1111 (2011). DOI:10.1142/S0218127411029033
  • Y. Zou, M. C. Romano, M. Thiel, J. Kurths: Identifying Coupling Directions by Recurrences, In: Recurrence Quantification Analysis – Theory and Best Practices, Eds.: C. L. Webber, Jr. and N. Marwan, Springer, Heidelberg, 65–99 (2015). DOI:10.1007/978-3-319-07155-8_3
  • M. C. Romano, M. Thiel, J. Kurths, C. Grebogi: Estimation of the direction of the coupling by conditional probabilities of recurrence, Physical Review E, 76, 036211 (2007). DOI:10.1103/PhysRevE.76.036211
  • B. Goswami, N. Marwan, G. Feulner, J. Kurths: How do global temperature drivers influence each other? – A network perspective using recurrences, European Physical Journal – Special Topics, 222, 861–873 (2013). DOI:10.1140/epjst/e2013-01889-8
  • N. Marwan, Y. Zou, N. Wessel, M. Riedl, J. Kurths: Estimating coupling directions in the cardio-respiratory system using recurrence properties, Philosophical Transactions of the Royal Society A, 371(1997), 20110624 (2013). DOI:10.1098/rsta.2011.0624
  • J. H. Feldhoff, R. V. Donner, J. F. Donges, N. Marwan, J. Kurths: Geometric detection of coupling directions by means of inter-system recurrence networks, Physics Letters A, 376(46), 3504–3513 (2012). DOI:10.1016/j.physleta.2012.10.008
  • Y. Hirata, K. Aihara: Identifying hidden common causes from bivariate time series: A method using recurrence plots, Physical Review E, 81(1), 016203 (2010). DOI:10.1103/PhysRevE.81.016203
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