scholarly journals The Effect of a Hidden Source on the Estimation of Connectivity Networks from Multivariate Time Series

Entropy ◽  
2021 ◽  
Vol 23 (2) ◽  
pp. 208
Author(s):  
Christos Koutlis ◽  
Dimitris Kugiumtzis
Keyword(s):  
Time Series ◽  
Dimension Reduction ◽  
Latent Variables ◽  
Global Market ◽  
Neural Mass Model ◽  
High Dimensional ◽  
Linear Measure ◽  
Mass Model ◽  
Connectivity Structure ◽  
General Terms

Many methods of Granger causality, or broadly termed connectivity, have been developed to assess the causal relationships between the system variables based only on the information extracted from the time series. The power of these methods to capture the true underlying connectivity structure has been assessed using simulated dynamical systems where the ground truth is known. Here, we consider the presence of an unobserved variable that acts as a hidden source for the observed high-dimensional dynamical system and study the effect of the hidden source on the estimation of the connectivity structure. In particular, the focus is on estimating the direct causality effects in high-dimensional time series (not including the hidden source) of relatively short length. We examine the performance of a linear and a nonlinear connectivity measure using dimension reduction and compare them to a linear measure designed for latent variables. For the simulations, four systems are considered, the coupled Hénon maps system, the coupled Mackey–Glass system, the neural mass model and the vector autoregressive (VAR) process, each comprising 25 subsystems (variables for VAR) at close chain coupling structure and another subsystem (variable for VAR) driving all others acting as the hidden source. The results show that the direct causality measures estimate, in general terms, correctly the existing connectivity in the absence of the source when its driving is zero or weak, yet fail to detect the actual relationships when the driving is strong, with the nonlinear measure of dimension reduction performing best. An example from finance including and excluding the USA index in the global market indices highlights the different performance of the connectivity measures in the presence of hidden source.

scholarly journals Extracting Low-Dimensional Latent Structure from Time Series in the Presence of Delays

2015 ◽  
Vol 27 (9) ◽  
pp. 1825-1856 ◽  
Author(s):  
Karthik C. Lakshmanan ◽  
Patrick T. Sadtler ◽  
Elizabeth C. Tyler-Kabara ◽  
Aaron P. Batista ◽  
Byron M. Yu
Keyword(s):  
Time Series ◽  
Time Delay ◽  
Motor Cortex ◽  
Dimensionality Reduction ◽  
Gaussian Process ◽  
Latent Variables ◽  
Time Delays ◽  
High Dimensional ◽  
Latent Space ◽  
Low Dimensional

Noisy, high-dimensional time series observations can often be described by a set of low-dimensional latent variables. Commonly used methods to extract these latent variables typically assume instantaneous relationships between the latent and observed variables. In many physical systems, changes in the latent variables manifest as changes in the observed variables after time delays. Techniques that do not account for these delays can recover a larger number of latent variables than are present in the system, thereby making the latent representation more difficult to interpret. In this work, we introduce a novel probabilistic technique, time-delay gaussian-process factor analysis (TD-GPFA), that performs dimensionality reduction in the presence of a different time delay between each pair of latent and observed variables. We demonstrate how using a gaussian process to model the evolution of each latent variable allows us to tractably learn these delays over a continuous domain. Additionally, we show how TD-GPFA combines temporal smoothing and dimensionality reduction into a common probabilistic framework. We present an expectation/conditional maximization either (ECME) algorithm to learn the model parameters. Our simulations demonstrate that when time delays are present, TD-GPFA is able to correctly identify these delays and recover the latent space. We then applied TD-GPFA to the activity of tens of neurons recorded simultaneously in the macaque motor cortex during a reaching task. TD-GPFA is able to better describe the neural activity using a more parsimonious latent space than GPFA, a method that has been used to interpret motor cortex data but does not account for time delays. More broadly, TD-GPFA can help to unravel the mechanisms underlying high-dimensional time series data by taking into account physical delays in the system.

scholarly journals Inferring network properties from time series using transfer entropy and mutual information: Validation of multivariate versus bivariate approaches

2020 ◽  
pp. 1-32
Author(s):  
Leonardo Novelli ◽  
Joseph T. Lizier
Keyword(s):  
Time Series ◽  
Mutual Information ◽  
Network Models ◽  
Small World ◽  
Structural Features ◽  
Transfer Entropy ◽  
Statistical Dependence ◽  
Neural Mass Model ◽  
Mass Model ◽  
Network Properties

Functional and effective networks inferred from time series are at the core of network neuroscience. Interpreting properties of these networks requires inferred network models to reflect key underlying structural features. However, even a few spurious links can severely distort network measures, posing a challenge for functional connectomes. We study the extent to which micro- and macroscopic properties of underlying networks can be inferred by algorithms based on mutual information and bivariate/multivariate transfer entropy. The validation is performed on two macaque connectomes and on synthetic networks with various topologies (regular lattice, small-world, random, scale-free, modular). Simulations are based on a neural mass model and on autoregressive dynamics (employing Gaussian estimators for direct comparison to functional connectivity and Granger causality). We find that multivariate transfer entropy captures key properties of all network structures for longer time series. Bivariate methods can achieve higher recall (sensitivity) for shorter time series but are unable to control false positives (lower specificity) as available data increases. This leads to overestimated clustering, small-world, and rich-club coefficients, underestimated shortest path lengths and hub centrality, and fattened degree distribution tails. Caution should therefore be used when interpreting network properties of functional connectomes obtained via correlation or pairwise statistical dependence measures, rather than more holistic (yet data-hungry) multivariate models.

scholarly journals A Neural Mass Model with Direct and Indirect Excitatory Feedback Loops: Identification of Bifurcations and Temporal Dynamics

2015 ◽  
Vol 27 (2) ◽  
pp. 329-364 ◽  
Author(s):  
Aurélie Garnier ◽  
Alexandre Vidal ◽  
Clément Huneau ◽  
Habib Benali
Keyword(s):  
Experimental Data ◽  
Time Series ◽  
Cell Population ◽  
Pyramidal Cell ◽  
Neural Mass Model ◽  
Mass Model ◽  
Feedback Parameter ◽  
Dynamical Behaviors ◽  
Neural Mass ◽  
Indirect Feedback

Neural mass modeling is a part of computational neuroscience that was developed to study the general behavior of a neuronal population. This type of mesoscopic model is able to generate output signals that are comparable to experimental data, such as electroencephalograms. Classically, neural mass models consider two interconnected populations: excitatory pyramidal cells and inhibitory interneurons. However, many authors have included an excitatory feedback on the pyramidal cell population. Two distinct approaches have been developed: a direct feedback on the main pyramidal cell population and an indirect feedback via a secondary pyramidal cell population. In this letter, we propose a new neural mass model that couples these two approaches. We perform a detailed bifurcation analysis and present a glossary of dynamical behaviors and associated time series. Our study reveals that the model is able to generate particular realistic time series that were never pointed out in either simulated or experimental data. Finally, we aim to evaluate the effect of balance between both excitatory feedbacks on the dynamical behavior of the model. For this purpose, we compute the codimension 2 bifurcation diagrams of the system to establish a map of the repartition of dynamical behaviors in a direct versus indirect feedback parameter space. A perspective of this work is, from a given temporal series, to estimate the parameter value range, especially in terms of direct versus indirect excitatory feedback.

scholarly journals Evaluation of Granger Causality Measures for Constructing Networks from Multivariate Time Series

Entropy ◽  
2019 ◽  
Vol 21 (11) ◽  
pp. 1080 ◽  
Author(s):  
Elsa Siggiridou ◽  
Christos Koutlis ◽  
Alkiviadis Tsimpiris ◽  
Dimitris Kugiumtzis
Keyword(s):  
Time Series ◽  
Dynamical Systems ◽  
Financial Markets ◽  
Dimension Reduction ◽  
Granger Causality ◽  
Multivariate Time Series ◽  
High Dimensional ◽  
Information Measures ◽  
Model Based ◽  
The Time Domain

Granger causality and variants of this concept allow the study of complex dynamical systems as networks constructed from multivariate time series. In this work, a large number of Granger causality measures used to form causality networks from multivariate time series are assessed. These measures are in the time domain, such as model-based and information measures, the frequency domain, and the phase domain. The study aims also to compare bivariate and multivariate measures, linear and nonlinear measures, as well as the use of dimension reduction in linear model-based measures and information measures. The latter is particular relevant in the study of high-dimensional time series. For the performance of the multivariate causality measures, low and high dimensional coupled dynamical systems are considered in discrete and continuous time, as well as deterministic and stochastic. The measures are evaluated and ranked according to their ability to provide causality networks that match the original coupling structure. The simulation study concludes that the Granger causality measures using dimension reduction are superior and should be preferred particularly in studies involving many observed variables, such as multi-channel electroencephalograms and financial markets.

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