Granger causality and the inverse Ising problem

Abstract

We study Ising models for describing data and show that autoregressive methods may be used to learn their connections, also in the case of asymmetric connections and for multi-spin interactions. For each link the linear Granger causality is two times the corresponding transfer entropy (i.e. the information flow on that link) in the weak coupling limit. For sparse connections and a low number of samples, the L1 regularized least squares method is used to detect the interacting pairs of spins. Nonlinear Granger causality is related to multispin interactions.

6 pages and 8 figures. Revised version in press on Physica A

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