Open AccessInferring Weighted Directed Association Network from Multivariate Time Series with a Synthetic Method of Partial Symbolic Transfer Entropy Spectrum and Granger Causality
Author(s) -
Yanzhu Hu,
Huiyang Zhao,
Xinbo Ai
Publication year - 2016
Publication title -
plos one
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.99
H-Index - 332
ISSN - 1932-6203
DOI - 10.1371/journal.pone.0166084
Subject(s) - transfer entropy , granger causality , partial correlation , computer science , algorithm , multivariate statistics , adjacency matrix , entropy (arrow of time) , correlation , data mining , multivariable calculus , mathematics , artificial intelligence , principle of maximum entropy , theoretical computer science , machine learning , graph , physics , geometry , quantum mechanics , control engineering , engineering
Complex network methodology is very useful for complex system explorer. However, the relationships among variables in complex system are usually not clear. Therefore, inferring association networks among variables from their observed data has been a popular research topic. We propose a synthetic method, named small-shuffle partial symbolic transfer entropy spectrum (SSPSTES), for inferring association network from multivariate time series. The method synthesizes surrogate data, partial symbolic transfer entropy (PSTE) and Granger causality. A proper threshold selection is crucial for common correlation identification methods and it is not easy for users. The proposed method can not only identify the strong correlation without selecting a threshold but also has the ability of correlation quantification, direction identification and temporal relation identification. The method can be divided into three layers, i.e. data layer, model layer and network layer. In the model layer, the method identifies all the possible pair-wise correlation. In the network layer, we introduce a filter algorithm to remove the indirect weak correlation and retain strong correlation. Finally, we build a weighted adjacency matrix, the value of each entry representing the correlation level between pair-wise variables, and then get the weighted directed association network. Two numerical simulated data from linear system and nonlinear system are illustrated to show the steps and performance of the proposed approach. The ability of the proposed method is approved by an application finally.