Identification of Direction of Time in Vector Autoregressive Systems Using PC Algorithm

被引：0
|
作者：
Alipourfard, Borzou [1 ]
Gao, Jean X. [1 ]
机构：
[1] Univ Texas Arlington, Dept Comp Sci & Engn, Arlington, TX 76019 USA
来源：
COMMUNICATIONS, SIGNAL PROCESSING, AND SYSTEMS | 2019年 / 463卷
关键词：
Direction of time; Vector autoregressive process; Time reversibility; Directed acyclic graphs; PC-algorithm;
D O I：
10.1007/978-981-10-6571-2_276
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In this paper we study whether it is possible to identify the direction of time in vector autoregressive processes. We prove a result regarding time reversibility of such systems and propose an algorithm to identify the direction of time when the system is not reversible. We first show that it is possible to utilize the PC-algorithm to identify the directed acyclic graph corresponding to a vector autoregressive process. The identified directed acyclic graph is then used to determine the direction of time. We test our proposed algorithm both on simulated data and real data consisting of EEG recordings.
引用
收藏
页码：2259 / 2267
页数：9
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