Granger causality discrimination method based on quantitative minimum error entropy criterion

An error and criterion technology, applied in the field of time series analysis, can solve problems such as increased computational complexity, and achieve a wide range of research effects

Inactive Publication Date: 2018-12-07
XI AN JIAOTONG UNIV
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Problems solved by technology

However, when calculating the error entropy, double summation is required, which greatly increases the computational complexity of the algorithm, especially when the sample size of the error is large

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  • Granger causality discrimination method based on quantitative minimum error entropy criterion
  • Granger causality discrimination method based on quantitative minimum error entropy criterion
  • Granger causality discrimination method based on quantitative minimum error entropy criterion

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Embodiment Construction

[0027] The present invention will be further described below in conjunction with the accompanying drawings.

[0028] The Granger causality discrimination method based on the quantitative minimum error entropy criterion, under the framework of Granger causality discrimination, uses the quantitative minimum error entropy criterion and Bayesian information criterion to estimate and determine the coefficient and order of the regression model, through The error entropy and coefficients are used to calculate the causal discrimination index, and the causality of the time series is obtained according to the defined causality judgment standard.

[0029] The specific steps of the Granger causality discrimination method based on the quantized minimum error entropy criterion are as follows:

[0030] 1) According to the prior information, set the maximum order p of the regression model, the number of iterations q, the Gaussian kernel function kernel width σ and the quantization threshold ε...

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Abstract

The invention provides a Granger causality discrimination method based on a quantitative minimum error entropy criterion. According to the method, the coefficient and the order of a regression model are determined by adopting the quantitative minimum error entropy criterion and a Bayesian information criterion, a causality discrimination index is obtained by calculating the error entropy and coefficient, and the causality between two time sequences is determined according to a causality judgment standard. Compared with a traditional Granger causality discrimination method based on a minimum mean square error criterion, the method is more accurate in estimating coefficients of the regression model, the obtained error entropy is smaller, and the causality discrimination index can be more accurately calculated. Due to the adoption of a quantization method, the calculation complexity of the method is remarkably reduced. The method integrates the error entropy and the coefficient when calculating the causality discrimination index, which makes the calculation of the causality discrimination index more accurate and robust. Therefore, the Granger causality discrimination method based on the quantitative minimum error entropy criterion provided by the invention is more easily promoted and used in practical applications.

Description

technical field [0001] The invention belongs to method research in the field of time series analysis, and relates to a method for time series causality discrimination. Background technique [0002] For a long time, people often use correlation to measure the degree of closeness among things, institutions and systems. For example, in the study of cognitive neuroscience, by establishing functional connections between different brain regions, it is revealed how different structural and functional brain regions work together to form a complex and efficient brain network in a specific cognitive state. Systematic; in the field of economic development, the important role of financial development in the process of China's economic growth has been proved through the relevant discrimination of financial indicators and real GDP growth rates since my country's economic system reform; clinical application In the study, correlation was used to judge the relationship between diabetes and ph...

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06F17/18
CPCG06F17/18
Inventor 陈霸东马荣金郑南宁
Owner XI AN JIAOTONG UNIV
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