Dr Sebastiano Stramaglia
University of Bari, Italy
Redundant variables and Granger causality
Wed May 4, 2011. 5.30pm
An important notion in information theory is the redundancy in a group of variables, usually formalized as a generalization of the mutual information. The application of multivariate Granger causality, in presence of redundant variables, leads to under-estimation of causalities. The notions of redundancy and synergy can be developed in the frame of causality, and their evaluation can reveal the informational character of a system. Some approaches to group redundant time series in the frame of causality will be described.
