Causal Inference in Time Series in Terms of Rényi Transfer Entropy

Abstract

Uncovering causal interdependencies from observational data is one of the great challenges of a nonlinear time series analysis. In this paper, we discuss this topic with the help of an information-theoretic concept known as Rényi’s information measure. In particular, we tackle the directional information flow between bivariate time series in terms of Rényi’s transfer entropy. We show that by choosing Rényi’s parameter α, we can appropriately control information that is transferred only between selected parts of the underlying distributions. This, in turn, is a particularly potent tool for quantifying causal interdependencies in time series, where the knowledge of “black swan” events, such as spikes or sudden jumps, are of key importance. In this connection, we first prove that for Gaussian variables, Granger causality and Rényi transfer entropy are entirely equivalent. Moreover, we also partially extend these results to heavy-tailed α-Gaussian variables. These results allow establishing a connection between autoregressive and Rényi entropy-based information-theoretic approaches to data-driven causal inference. To aid our intuition, we employed the Leonenko et al. entropy estimator and analyzed Rényi’s information flow between bivariate time series generated from two unidirectionally coupled Rössler systems. Notably, we find that Rényi’s transfer entropy not only allows us to detect a threshold of synchronization but it also provides non-trivial insight into the structure of a transient regime that exists between the region of chaotic correlations and synchronization threshold. In addition, from Rényi’s transfer entropy, we could reliably infer the direction of coupling and, hence, causality, only for coupling strengths smaller than the onset value of the transient regime, i.e., when two Rössler systems are coupled but have not yet entered synchronization.