Quantification of causal couplings via dynamical effects: a unifying perspective.

Abstract

Quantitative characterization of causal couplings from time series is crucial in studies of complex systems of different origin. Various statistical tools for that exist and new ones are still being developed with a tendency to creating a single, universal, model-free quantifier of coupling strength. However, a clear and generally applicable way of interpreting such universal characteristics is lacking. This work suggests a general conceptual framework for causal coupling quantification, which is based on state space models and extends the concepts of virtual interventions and dynamical causal effects. Namely, two basic kinds of interventions (state space and parametric) and effects (orbital or transient and stationary or limit) are introduced, giving four families of coupling characteristics. The framework provides a unifying view of apparently different well-established measures and allows us to introduce new characteristics, always with a definite "intervention-effect" interpretation. It is shown that diverse characteristics cannot be reduced to any single coupling strength quantifier and their interpretation is inevitably model based. The proposed set of dynamical causal effect measures quantifies different aspects of "how the coupling manifests itself in the dynamics," reformulating the very question about the "causal coupling strength."