3 ms·
Can information theoretic measures like Granger causality[0] be used for this purpose? [0] https://en.wikipedia.org/wiki/Granger_causality https://en.wikipedia
by nextaccountic 5y ago
Can information theoretic measures like Granger causality[0] be used for this purpose?
[0] https://en.wikipedia.org/wiki/Granger_causality https://en.wikipedia.org/wiki/Granger_causality
- csee 5y agoGranger causality is about linear inter-temporal dependence. Chatterjee correlation is about non-linear contemporaneous (or time-independent) dependence. They're tools for quite different applications.
- pizza 5y agoLooks like you could do the opposite: use this measure as a proxy for correlation between input data X and Y, and seeing if increased correlation between X and Y is superior to just prediction of Y without X. Maybe model the correlation value going over a threshold as a sequence of Bernoulli trials