Estimación de la causalidad basada en el flujo de información con series temporales muestreadas de forma gruesa

The past decade has seen growing applications of the information flow-based causality analysis, particularly with the concise formula of its maximum likelihood estimator. At present, the algorithm for its estimation is based on differential dynamical systems, which, however, may raise an issue for coarsely sampled time series. Here, we show that, for linear systems, this is suitable at least qualitatively, but, for highly nonlinear systems, the bias increases significantly as the sampling frequency is reduced. This study provides a partial solution to this problem, showing how causality analysis can be made faithful with coarsely sampled series, provided that the statistics are sufficient. The key point here is that, instead of working with a Lie algebra, we turn to work with its corresponding Lie group. An explicit and concise formula is obtained, with only sample covariances involved. It is successfully applied to a system comprising a pair of coupled Rössler oscillators. Particularly remarkable is the success when the two oscillators are nearly synchronized. As more often than not observations may be scarce, this solution, albeit partial, is very timely.