Frequency decomposition of conditional Granger causality and application to multivariate neural field potential data

Abstract

It is often useful in multivariate time series analysis to determine statistical causal relations between different time series. Granger causality is a fundamental measure for this purpose. Yet the traditional pairwise approach to Granger causality analysis may not clearly distinguish between direct causal influences from one time series to another and indirect ones acting through a third time series. In order to differentiate direct from indirect Granger causality, a conditional Granger causality measure in the frequency domain is derived based on a partition matrix technique. Simulations and an application to neural field potential time series are demonstrated to validate the method.