2022/12/12 by Jan Østergaard, Østergaard, Jan, Payam Shahsavari Boubakani +1
Decision Sciences · Economics, Econometrics and Finance · Psychology · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #Forecasting Techniques and Applications #Information Theory (cs.IT) #Mental Health Research Topics
paper · pdf · doi:10.48550/arxiv.2212.05728
openalex publication_date 2022/12/12 · openalex created_date 2022/12/26 · openalex updated_date 2026/07/28
We present a new decomposition of transfer entropy to characterize the degree of synergy- and redundancy-dominated influence a time series has upon the interaction between other time series. We prove the existence of a class of time series, where the early past of the conditioning time series yields a synergistic effect upon the interaction, whereas the late past has a redundancy-dominated effect. In general, different parts of the past can have different effects. Our information theoretic quantities are easy to compute in practice, and we demonstrate their usage on real-world brain data.