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Title: Assessing dependences within multivariate time series partializing the knowledge of thirds
Authors: Carmeli, C
Feo, OD
Issue Date: 2006
Source: Proceedings of The 2006 International Symposium on Nonlinear Theory and Its Applications (NOLTA'2006), Bologna, Italy, 11-14 September 2006, p. 247-250 How to cite?
Abstract: A method to estimate from multivariate measurements the dependences within a network of coupled dynamical systems is proposed. The method is nonparametric and resorts to a statistics of the eigen-spectrums of the time series partial correlation matrices. The method is successfully validated on numerically generated data, demonstrating its capability to distinguish between direct and indirect dependences.
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